Numerical methods for finance [electronic resource] / edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the few books entirely devoted to numerical methods as applied to the financial field. Prese...
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| Online Access: |
Full Text (via Taylor & Francis) |
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| Other Authors: | , , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Boca Raton, FL :
Chapman & Hall/CRC,
©2008.
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| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: |
Table of Contents:
- Coherent measures of risk into everyday market practice / Carlo Acerbi
- Pricing high-dimensional American options using local consistency conditions / S.J. Berridge and J.M. Schumacher
- Adverse interrisk diversification effects for FX forwards / Thomas Breuer and Martin Jandačka
- Counterparty risk pricing under correlation between default and interest rates / Damiano Brigo and Andrea Pallavicini
- Optimal dynamic asset allocation for defined contribution pension plans / Andrew J.G. Cairns, David Blake, and Kevin Dowd
- On high-performance software development for the numerical simulation of life insurance policies / S. Corsaro [and others]
- An efficient numerical method for pricing interest rate swaptions / Mark Cummins and Bernard Murphy
- Empirical testing of local cross entropy as a method for recovering asset's risk-neutral PDF from option prices / Vladimír Dobiáš
- Using intraday data to forecast daily volatility : a hybrid approach / David C. Edelman and Francesco Sandrini
- Pricing credit from the top down with affine point processes / Eymen Errais, Kay Giesecke, and Lisa R. Goldberg
- Valuation of performance-dependent options in a Black-Scholes framework / Thomas Gerstner, Markus Holtz, and Ralf Korn
- Variance reduction through multilevel Monte Carlo path calculations / Michael B. Giles
- Value at risk and self-similarity / Olaf Menkens
- Parameter uncertainty in Kalman-filter estimation of the CIR term-structure model / Conall O'Sullivan
- EDDIE for discovering arbitrage opportunities / Edward Tsang [and others]