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Found 97 Documents (Results 1–97)

Predictable representation of the binomial process and application to options in finance. (Spanish) Zbl 1139.91018

Alfaro, Javier (ed.) et al., XXXIII congreso nacional de la Sociedad Matemática Mexicana, Saltillo, México, 2000. Memorias. México: Sociedad Matemática Mexicana (ISBN 968-36-9631-7/pbk). Aportaciones Mat., Comun. 29, 223-230 (2001).
MSC:  91G20 60G42
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Fast pricing of European Asian options with provable accuracy: single-stock and basket options. (English) Zbl 1037.91041

Meyer auf der Heide, Friedhelm (ed.), Algorithms - ESA 2001. 9th annual European symposium, Århus, Denmark, August 28–31, 2001. Proceedings. Berlin: Springer (ISBN 3-540-42493-8). Lect. Notes Comput. Sci. 2161, 404-415 (2001).
MSC:  91G20 91B24
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Approximation of expectation of diffusion process and mathematical finance. (English) Zbl 1028.60052

Maruyama, Masaki (ed.) et al., Taniguchi conference on mathematics Nara ’98. Papers from the conference, Nara, Japan, December 15-20, 1998. Tokyo: Mathematical Society of Japan. Adv. Stud. Pure Math. 31, 147-165 (2001).
MSC:  60J60 65C50 91G20 91G60 60H07 60H10
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Numerical comparison of local risk-minimisation and mean-variance hedging. (English) Zbl 1004.91031

Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 509-537 (2001).
MSC:  91G20 91B30 60G44 91G60
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Monte Carlo methods for security pricing. (English) Zbl 0991.91026

Jouini, E. (ed.) et al., Option pricing, interest rates and risk management. Cambridge: Cambridge University Press. Handbooks in Mathematical Finance. 185-238 (2001).
MSC:  91G60 65C10 91G20
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Discrete higher order convex functions and their applications. (English) Zbl 0994.90096

Hadjisavvas, Nicolas (ed.) et al., Generalized convexity and generalized monotonicity. Proceedings of the 6th international symposium, Samos, Greece, September 1999. Berlin: Springer. Lect. Notes Econ. Math. Syst. 502, 21-47 (2001).
MSC:  90C05 60E99 26B25 65C50 91B28
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Installment options and static hedging. (English) Zbl 0994.91022

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 131-139 (2001).
MSC:  91B28 91B24 91B30
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Option pricing and hedging under regular Lévy processes of exponential type. (English) Zbl 1008.91043

Kohlmann, Michael (ed.) et al., Mathematical finance. Workshop of the mathematical finance research project, Konstanz, Germany, October 5-7, 2000. Basel: Birkhäuser. 121-130 (2001).
MSC:  91G20 91B24 60G99
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How to use self-similarities to discover similarities of path-dependent options. (English) Zbl 0985.91028

Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 317-334 (2001).
MSC:  91G20
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Reconstructing the unknown local volatility function. (English) Zbl 0976.91019

Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 192-215 (2001).
MSC:  91B24
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Determining volatility surfaces and option values from an implied volatility smile. (English) Zbl 1012.91017

Avellaneda, Marco (ed.), Quantitative analysis in financial markets. Collected papers of the New York University mathematical finance seminar. Vol. II. Singapore: World Scientific. 163-191 (2001).
MSC:  91G20
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Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. (English) Zbl 0965.91020

Graduate Studies in Mathematics. 31. Providence, RI: American Mathematical Society (AMS). xiv, 253 p. (2001).
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