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Numerical methods for finance

John A. D Appleby; David C Edelman (David Charles) 1956-; John Miller (John James Henry) 1937-

Boca Raton, FL Chapman & Hall/CRC c2008

Localização: FEA - Fac. Econ. Adm. Contab. e Atuária    (332.015195 N971 )(Acessar)

  • Título:
    Numerical methods for finance
  • Autor: John A. D Appleby; David C Edelman (David Charles) 1956-; John Miller (John James Henry) 1937-
  • Assuntos: Finance -- Mathematical models -- Congresses; Finanzierung; Mathematisches Modell; Numerisches Verfahren; FINANÇAS (MODELOS MATEMÁTICOS CONGRESSOS)
  • Notas: Includes bibliographical references and index
  • Descrição: 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 Jandaécka -- 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 Dobiáés -- 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.]
  • Títulos relacionados: Série:Chapman & Hall/CRC financial mathematics series.
  • Editor: Boca Raton, FL Chapman & Hall/CRC
  • Data de criação/publicação: c2008
  • Formato: xiii, 293 p. ill. 25 cm.
  • Idioma: Inglês
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  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

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