Numerical methods for finance : [selection of papers first presented at the International Conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006]
ed. by John A. D. Appleby ...
| Year of publication: |
c 2008
|
|---|---|
| Other Persons: | Appleby, John A. D. (contributor) |
| Institutions: | International Conference on Numerical Methods for Finance <2006, Dublin> (contributor) |
| Publisher: |
Boca Raton, Fla. [u.a.] : Chapman & Hall/CRC |
| Subject: | Numerisches Verfahren | Numerical analysis | CAPM | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Unternehmensfinanzierung | Corporate finance | Risikomanagement | Risk management | Theorie | Theory | Finanzierung | Mathematisches Modell |
| Description of contents: | Table of Contents [gbv.de] ; Description [zbmath.org] ; Description [loc.gov] |
| Extent: | XIII, 293 S. graph. Darst. |
|---|---|
| Series: | Chapman & Hall/CRC financial mathematics series. - Boca Raton, Fla. [u.a.] : Chapman & Hall/CRC, ZDB-ID 2261427-8. - Vol. [8] |
| Conferences: | International Conference on Numerical Methods for Finance ; (Dublin) : 2006.06 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Konferenzschrift ; Conference proceedings ; Sammelwerk ; Collection of articles of several authors |
| Language: | English |
| Notes: | Includes bibliographical references and index. - Enth. 15 Beitr. 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 ... [et al.] -- 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 ... [et al.] 0708 |
| ISBN: | 1-58488-925-X ; 978-1-58488-925-0 |
| Classification: | Investition, Finanzierung ; Numerische Mathematik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003451770