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Quantitative analysis in financial markets. collected papers of the New York University Mathematical Finance Seminar / vol. III :
| Clasificación: | Libro Electrónico |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Electrónico Congresos, conferencias eBook |
| Idioma: | Inglés |
| Publicado: |
River Edge, NJ :
World Scientific,
©2001.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- On the regulation of fee structures in mutual funds / Sanjiv R. Das, Rangarajan K. Sundaram
- The mean-variance synthesis of corporate balance sheets / Les Gulko
- Multi-stage optimization for long-term investors / John M. Mulvey
- A discrete-time approach to arbitrage-free pricing of credit derivatives / Sanjiv R. Das, Rangarajan K. Sundaram
- An alternative approach for valuing continuous cash flows / Peter Carr, Alex Lipton, Dilip Madan
- Arbitrage pricing and equilibrium pricing: compatibility conditions / Elyès Jouini, Clotilde Napp
- Nonlinear financial models: finite Markov modulation and its limits / Mogens Bladt, Pablo Padilla
- Pricing American options with transaction costs by complementarity methods / Jong-Shi Pang, Jacqueline Huang
- A linearization approach in modeling quasi-affine coupon rate term structures and related derivatives / Alexander Levin
- A generalized Ornstein-Uhlenbeck process of yield rates calibrated with strips / Jacques Carrière
- Mathematical pseudo-completion of the BGM model / Takashi Yasuoka
- A finite difference method for the valuation of variance swaps / Thomas Little, Vijay Pant
- Pricing discrete barrier options with an adaptive mesh model / Dong-Hyun Ahn, Bin Gao, Stephen Figlewski
- Bermudan option pricing with Monte-Carlo methods / Raphaël Douady
- Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, Jean-François Picron
- Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedge-ratios of financial assets by direct numerical simulation / Marco Avellaneda, Roberta Gamba.