Titlebook: Computational Methods in Decision-Making, Economics and Finance; Erricos John Kontoghiorghes,Berc Rustem,Stavros Si Book 2002 Springer Sci

領(lǐng)導(dǎo)權(quán)

Ringworm

Basic Proof Systems for Substructural Logicse. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By performing simulations with and without including the recently suggested Sharp Large Deviations, we show that standard Monte Carlo procedure substantially misprices barrier options.

BALK

Multistage Stochastic Programming in Computational Finance quadratic stochastic program, respectively; solution of many almost identical quadratic stochastic programs yields points describing the Markowitz efficient frontier. Computational results and backtesting are presented on a number of models, simulated and real.

ANA

Interest Rate Barrier Optionse. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By performing simulations with and without including the recently suggested Sharp Large Deviations, we show that standard Monte Carlo procedure substantially misprices barrier options.

剝皮

滋養(yǎng)

顯赫的人

Simulations for Hedging Financial Contracts with Optimal Decisionse hedging of these contracts. In particular, we present results for the heuristic use of the reset feature; for example, locking in whenever the underlying asset value has risen by 15% as recently suggested by a Canadian Institute of Actuaries task force on segregated funds.

Morphine

wall-stress

expire