عنوان

Numerical methods for finance

Numerical methods for finance

Boca Raton, FL

Chapman & Hall/CRC

c2008

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

Chapman & Hall/CRC financial mathematics series

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

Includes bibliographical references and index

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

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.[

Congresses ، Finance - Mathematical models

TI

AU Appleby, John A. D

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

AU Miller, John)John James Henry( 1937-

SE