عنوان

Numerical methods for finance

عنوان اصلي

Numerical methods for finance

محل نشرو پخش و غیره

Boca Raton, FL

نام ناشر، پخش کننده و غيره

Chapman & Hall/CRC

تاریخ نشرو بخش و غیره

c2008

نام خاص و کميت اثر

xiii, 293 p. : ill. ; 25 cm.

ساير اطلاعات عنواني

Chapman & Hall/CRC financial mathematics series

متن يادداشت

Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006

متن يادداشت

Includes bibliographical references and index

متن يادداشت

edited by John A.D. Appleby, David C. Edelman, John J.H. Miller

متن يادداشت

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 Jandacka -- 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 / Vladimir Dobias -- 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.[

عنصر شناسه ای

Congresses ، Finance - Mathematical models

شماره

شماره رده

کد نقش

TI

عنصر شناسه اي

AU Appleby, John A. D

عنصر شناسه اي

AU Edelman, David C.)David Charles( 1956-

عنصر شناسه اي

AU Miller, John)John James Henry( 1937-

عنصر شناسه اي

SE