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Found 541 Documents (Results 1–100)

On the martingale representation theorem and on approximate hedging a contingent claim in the minimum deviation square criterion. (English) Zbl 1173.91395

Jeltsch, Rolf (ed.) et al., Some topics in industrial and applied mathematics. Based on lectures delivered at the Shanghai Forum on Industrial and Applied Mathematics, Shanghai, China, May 26–27, 2006. Hackensack, NJ: World Scientific (ISBN 978-981-270-934-9/hbk). Series in Contemporary Applied Mathematics CAM 8, 134-151 (2007).
MSC:  91B28 60G42 60G44 60H10 60H30
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Compact representations of market securities using smooth component extraction. (English) Zbl 1173.62328

Davies, Mike E. (ed.) et al., Independent component analysis and signal separation. 7th international conference, ICA 2007, London, UK, September 9–12, 2007. Proceedings. Berlin: Springer (ISBN 978-3-540-74493-1/pbk). Lecture Notes in Computer Science 4666, 738-745 (2007).
MSC:  62P05 62H25 91B28
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Utility valuation of credit derivatives: single and two-name cases. (English) Zbl 1154.91515

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 279-301 (2007).
MSC:  91B30 91B28 60H10 60H30 35R30
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Beyond hazard rates: a new framework for credit-risk modelling. (English) Zbl 1156.91360

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 231-257 (2007).
MSC:  91B28 91B30 60H10 60H30
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Pricing of swaptions in affine term structures with stochastic volatility. (English) Zbl 1156.91373

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 173-193 (2007).
MSC:  91B28 65T50
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Asset price bubbles in complete markets. (English) Zbl 1154.91452

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 97-121 (2007).
MSC:  91B28 60H10 60H30
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A tutorial on zero volatility and option adjusted spreads. (English) Zbl 1156.91376

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 85-95 (2007).
MSC:  91B28 91-01
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Variance-gamma and Monte Carlo. (English) Zbl 1159.62069

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 21-35 (2007).
MSC:  62P05 65C05 91B28 60G51
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The early years of the variance-gamma process. (English) Zbl 1161.60300

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 3-19 (2007).
MSC:  60-03 01A60 62F10 60G51 91B28
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On a property of multidimensional normal distributions and its application to the computation of options. (English. Russian original) Zbl 1158.62041

Dokl. Math. 75, No. 3, 346-348 (2007); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 414, No. 1, 21-23 (2007).
MSC:  62H05 62P05 91B28
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A sufficient condition for a riskless distribution of investments. (English. Russian original) Zbl 1155.91021

Dokl. Math. 75, No. 2, 299-303 (2007); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 413, No. 5, 603-607 (2007).
MSC:  91B28
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