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Numerical methods for finance

Author: John A D Appleby; David C Edelman; J J H Miller
Publisher: Boca Raton, FL : Chapman & Hall/CRC, ©2008.
Series: Chapman & Hall/CRC financial mathematics series.
Edition/Format:   eBook : Document : Conference publication : EnglishView all editions and formats
Database:WorldCat
Summary:

Explores relevant numerical methods for the solution of practical problems in finance. This book discusses the coherent risk measures theory and how it applies to practical risk management. It  Read more...

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Genre/Form: Congresses
Electronic books
Conference papers and proceedings
Additional Physical Format: Print version:
Numerical methods for finance.
Boca Raton, FL : Chapman & Hall/CRC, ©2008
(DLC) 2007014372
(OCoLC)123912468
Material Type: Conference publication, Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John A D Appleby; David C Edelman; J J H Miller
ISBN: 9781584889267 1584889268
OCLC Number: 181099444
Notes: Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006.
Description: 1 online resource (xiii, 293 pages) : illustrations.
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].
Series Title: Chapman & Hall/CRC financial mathematics series.
Responsibility: edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
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