Numerical methods for finance / edited by John A.D. Appleby, David C. Edelman, John J.H Miller.
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TextLanguage: English Series: Chapman & Hall/CRC financial mathematics seriesPublisher: Boca Raton, FL : Chapman & Hall/CRC, 2008Description: xiii, 293 páginas : ilustraciones ; 24 cmContent type: texto Media type: sin mediación Carrier type: volumenISBN: 158488925X; 9781584889250Subject(s): Finanzas -- Modelos matemáticos | Finanzas -- Modelos matemáticos -- Congresos, conferencias, etc | Modelos matemáticosDDC classification: 332.015195 | Item type | Current library | Collection | Call number | Vol info | Copy number | Status | Date due | Barcode | Item holds |
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Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006.
Incluye referencias bibliográficas e índice.
Coherent measures of risk into everyday market practice \\ Pricing high\dimensional American options using local consistency conditions \\ Adverse interrisk diversification effects for FX forwards \\ Counterparty risk pricing under correlation between default and interest rates \\ Optimal dynamic asset allocation for defined contribution pension plans \\ On high\performance software development for the numerical simulation of life insurance policies \\ An efficient numerical method for pricing interest rate swaptions \\ Empirical testing of local cross entropy as a method for recovering asset's risk\neutral PDF from option prices \\ Using intraday data to forecast daily volatility : a hybrid approach \\ Pricing credit from the top down with affine point processes \\ Valuation of performance\dependent options in a Black\Scholes framework \\ Variance reduction through multilevel Monte Carlo path calculations \\ Value at risk and self\similarity \\ Parameter uncertainty in Kalman\filter estimation of the CIR term\structure model \\ EDDIE for discovering arbitrage opportunities.
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