Publication:4821330
From MaRDI portal
zbMath1052.91001MaRDI QIDQ4821330
Publication date: 13 October 2004
Microeconomic theory (price theory and economic markets) (91B24) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)
Related Items
Level–Slope–Curvature – Fact or Artefact?, Lie group symmetries as integral transforms of fundamental solutions, Multicriteria decision systems for financial problems, EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL, A reliable numerical method to price arithmetic Asian options, Affine term structure models: A time‐change approach with perfect fit to market curves, Robust Numerical Calibration for Implied Volatility Expansion Models, Fast delta computations in the swap-rate market model, New and robust drift approximations for the LIBOR market model, Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment, Forward or backward simulation? A comparative study, Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives, PERTURBATION STABLE CONDITIONAL ANALYTIC MONTE-CARLO PRICING SCHEME FOR AUTO-CALLABLE PRODUCTS, Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives, A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations, Exponential Rosenbrock integrators for option pricing, ACHIEVING HIGHER ORDER CONVERGENCE FOR THE PRICES OF EUROPEAN OPTIONS IN BINOMIAL TREES, PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER, FAST AND ACCURATE PRICING AND HEDGING OF LONG-DATED CMS SPREAD OPTIONS, Neural network calibrated stochastic processes: forecasting financial assets, Application of fuzzy measures and interval computation to financial portfolio selection, Pricing exchange options with correlated jump diffusion processes, ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES, Achieving smooth asymptotics for the prices of European options in binomial trees, Simulation-based Value-at-Risk for nonlinear portfolios, Stochastic stability of a system of perfect integrate-and-fire inhibitory neurons, FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS, Effective Implementation of Generic Market Models, Solvency II – towards a new insurance supervisory system in the EU
