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Indifference Pricing : Theory and Applications
Carmona, René - 2008
This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently,...
Persistent link: https://www.econbiz.de/10012689047
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Statistical analysis of financial data in S-Plus
Carmona, René - 2004
Persistent link: https://www.econbiz.de/10001794544
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HJM: a unified approach to dynamic models for fixed income, credit and equity markets
Carmona, René - In: Paris Princeton lectures on mathematical finance 3 (2004), pp. 1-50
Persistent link: https://www.econbiz.de/10009357091
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From Markovian to partially observable models
Carmona, René - In: Indifference pricing : theory and applications, (pp. 147-180). 2009
Persistent link: https://www.econbiz.de/10003807582
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Applications to weather derivatives and energy contracts
Carmona, René - In: Indifference pricing : theory and applications, (pp. 241-264). 2009
Persistent link: https://www.econbiz.de/10003807590
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The influence of economic research on financial mathematics : evidence from the last 25 years
Carmona, René - In: Finance and stochastics 26 (2022) 1, pp. 85-101
Persistent link: https://www.econbiz.de/10012796474
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Paris-Princeton lectures on mathematical finance ; 4.2010
Cousin, Areski (contributor); Carmona, René (contributor) - 2011
Persistent link: https://www.econbiz.de/10009349792
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Tangent models as a mathematical framework for dynamic calibration
Carmona, René; Nadtochiy, Sergey - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 107-135
Persistent link: https://www.econbiz.de/10008908384
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An introduction to particle methods with financial applications
Carmona, René; Del Moral, Pierre; Peng Hu; Oudjane, Nadia - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 3-49). 2012
Persistent link: https://www.econbiz.de/10009577199