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Found 41 Documents (Results 1–41)

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Wealth transfers, indifference pricing, and XVA compression schemes. (English) Zbl 1448.91327

Jiao, Ying (ed.), From probability to finance. Lecture notes of BICMR summer school on financial mathematics, Beijing International Center for Mathematical Research, Beijing, China, May 29 – June 9, 2017. Singapore: Springer. Math. Lect. Peking Univ., 219-248 (2020).
MSC:  91G70 91G45
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Pricing options on EU ETS certificates with a time-varying market price of risk model. (English) Zbl 1335.91089

Benth, Fred Espen (ed.) et al., Stochastics of environmental and financial economics. Centre of Advanced Study, Oslo, Norway, 2014–2015. Cham: Springer (ISBN 978-3-319-23424-3/hbk; 978-3-319-23425-0/ebook). Springer Proceedings in Mathematics & Statistics 138, 341-360 (2016).
MSC:  91G20 91B76
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Computational finance. An introductory course with R. (English) Zbl 1309.91001

Atlantis Studies in Computational Finance and Financial Engineering 1. Amsterdam: Atlantis Press (ISBN 978-94-6239-069-0/hbk; 978-94-6239-070-6/ebook). x, 301 p. (2014).
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Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo. (English) Zbl 1294.91005

Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4665-1645-8/hbk). xxi, 365 p. (2014).
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Diffusion-based models for financial markets without martingale measures. (English) Zbl 1306.91125

Biagini, Francesca (ed.) et al., Risk measures and attitudes. In part based on a conference, Munich, Germany, December 2010. London: Springer (ISBN 978-1-4471-4925-5/pbk; 978-1-4471-4926-2/ebook). EAA Series, 45-81 (2013).
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Comparison of semimartingales and Lévy processes with applications to financial mathematics. (English) Zbl 1116.60007

Freiburg i. Br.: Universität Freiburg, Fakultät für Mathematik und Physik. iii, 118 p. (2005).
MSC:  60E15 60G48 60G51 91B28 60J75
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Monte Carlo methods for stochastic volatility models. (English) Zbl 0898.90034

Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 146-164 (1997).
MSC:  91B24 91B28
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Importance sampling in lattice pricing models. (English) Zbl 0881.90015

Barr, Richard S. (ed.) et al., Interfaces in computer science and operations research. Advances in metaheuristics, optimization, and stochastic modeling technologies. 5th INFORMS computer science technical section conference in Dallas, TX, USA, January 8-10, 1996. Dordrecht: Kluwer Academic Publishers. Oper. Res./Comput. Sci. Interfaces Ser. 7, 281-296 (1997).
MSC:  91B28 91B24 65C99 90C90
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