Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
von Dipl.-Math. Marcel Ladkau
| Year of publication: |
2015
|
|---|---|
| Authors: | Ladkau, Marcel |
| Publisher: |
Berlin |
| Subject: | multi-factor stochastic volatility model with displacement | multidimensional Andersen scheme | multilevel policy iteration | robust optimal stopping | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Suchtheorie | Search theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm |
| Extent: | 1 Online-Ressource (vii, 178 Seiten) Diagramme |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Thesis: | Dissertation, Humboldt Universität zu Berlin, 2015 |
| Other identifiers: | 10.18452/17559 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012385011