| Description |
1 online resource (x, 351 pages) : illustrations |
| Contents |
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 |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Finance -- Mathematical models -- Congresses
|
|
BUSINESS & ECONOMICS -- Finance.
|
|
Finance -- Mathematical models.
|
| Genre/Form |
Conference papers and proceedings.
|
| Form |
Electronic book
|
| Author |
Avellaneda, Marco, 1955-
|
| ISBN |
9789812778451 |
|
9812778454 |
|
