Numerical methods for finance [electronic resource] / edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
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| Language: | English |
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Boca Raton, FL :
Chapman & Hall/CRC,
c2008.
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| Format: | Electronic eBook |
Contents:
- Coherent measures of risk into everyday market practice / Carlo Acerbi
- Pricing high-dimensional American options using local consistency conditions / S.J. Berridge and J.M. Schumacher
- Adverse interrisk diversification effects for FX forwards / Thomas Breuer and Martin Jandačka
- Counterparty risk pricing under correlation between default and interest rates / Damiano Brigo and Andrea Pallavicini
- Optimal dynamic asset allocation for defined contribution pension plans / Andrew J.G. Cairns, David Blake, and Kevin Dowd
- On high-performance software development for the numerical simulation of life insurance policies / S. Corsaro ... [et al.]
- An efficient numerical method for pricing interest rate swaptions / Mark Cummins and Bernard Murphy
- Empirical testing of local cross entropy as a method for recovering asset's risk-neutral PDF from option prices / Vladimír Dobiáš
- Using intraday data to forecast daily volatility : a hybrid approach / David C. Edelman and Francesco Sandrini
- Pricing credit from the top down with affine point processes / Eymen Errais, Kay Giesecke, and Lisa R. Goldberg
- Valuation of performance-dependent options in a Black-Scholes framework / Thomas Gerstner, Markus Holtz, and Ralf Korn
- Variance reduction through multilevel Monte Carlo path calculations / Michael B. Giles
- Value at risk and self-similarity / Olaf Menkens
- Parameter uncertainty in Kalman-filter estimation of the CIR term-structure model / Conall O'Sullivan
- EDDIE for discovering arbitrage opportunities / Edward Tsang ... [et al.].