Titlebook: Mathematical Finance - Bachelier Congress 2000; Selected Papers from Hélyette Geman,Dilip Madan,Ton Vorst Book 2002 Springer-Verlag Berlin

太平間

書目名稱Mathematical Finance - Bachelier Congress 2000影響因子(影響力)




書目名稱Mathematical Finance - Bachelier Congress 2000影響因子(影響力)學科排名




書目名稱Mathematical Finance - Bachelier Congress 2000網(wǎng)絡(luò)公開度




書目名稱Mathematical Finance - Bachelier Congress 2000網(wǎng)絡(luò)公開度學科排名




書目名稱Mathematical Finance - Bachelier Congress 2000被引頻次




書目名稱Mathematical Finance - Bachelier Congress 2000被引頻次學科排名




書目名稱Mathematical Finance - Bachelier Congress 2000年度引用




書目名稱Mathematical Finance - Bachelier Congress 2000年度引用學科排名




書目名稱Mathematical Finance - Bachelier Congress 2000讀者反饋




書目名稱Mathematical Finance - Bachelier Congress 2000讀者反饋學科排名

安撫

Conquering the Greeks in Monte Carlo: Efficient Calculation of the Market Sensitivities and Hedge-Reeks of the Black-Scholes model, and with approximate analytic solutions for Basket Options in multi-asset, models. The advantage of the new-sensitivities is that they are “universal” (non-parametric) and simple to compute: they do not require performing multiple MC simulations, discrete-differentiation, or re-calibration of the simulation.

盡責

On the Term Structure of Futures and Forward Prices,ble sufficient condition for the possibility of fitting a finite dimensional futures price model to an arbitrary initial futures price curve, by introducing a time dependent function in the drift term.

parallelism

Spread Option Valuation and the Fast Fourier Transform,k. Furthermore, computational time does not increase significantly as additional random factors are introduced, since the fast Fourier Transform remains two dimensional in terms of the two prices defining the spread. This yields considerable advantage over Monte Carlo and PDE methods and numerical results are presented to this effect.

Flounder

Rare Events, Large Deviations,an write it as . .. While in this case the exact probability is easy to evaluate, there are many situations in which a direct exact calculation is impossible and we need to develop indirect methods that will provide us with estimates.

Inordinate

充足

An Autoregressive Conditional Binomial Option Pricing Model,balancing is no longer appropriate. Although this continuity assumption is clearly unrealistic for transaction cost reasons, because prices are quoted in ticks, or because of the mere impossibility of continuous trading, it has received comparatively less academic attention than other assumptions such as constant volatility.

Cougar

Theory and Calibration of HJM with Shape Factors,-day recovered and the proposed evolution equation is investigated. The main result is the developemeut of a historical-implicit hybrid calibration procedure for our infinite-dimensional shape factor model. In this context, we also derive a pricing formula for caplets.

接合

ethereal