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 meanvariance synthesis of corporate balance sheets / Les Gulko  Multistage optimization for longterm investors / John M. Mulvey  A discretetime approach to arbitragefree 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 / JongShi Pang, Jacqueline Huang  A linearization approach in modeling quasiaffine coupon rate term structures and related derivatives / Alexander Levin  A generalized OrnsteinUhlenbeck process of yield rates calibrated with strips / Jacques Carrière  Mathematical pseudocompletion 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 / DongHyun Ahn, Bin Gao, Stephen Figlewski  Bermudan option pricing with MonteCarlo methods / Raphaël Douady  Linear, yet attractive, contour / Juan D. Cʹardenas, Emmanuel Fruchard, JeanFrançois Picron  Conquering the Greeks in Monte Carlo: efficient calculation of the market sensitivities and hedgeratios 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 
