Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series
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Published By Chapman And Hall/CRC

9781584889250, 9781584889267

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Counterparty Risk Pricing under Correlation between Default and Interest Rates

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch4 ◽

2007 ◽

pp. 63-81 ◽

Cited By ~ 38

Author(s):

Damiano Brigo ◽

Andrea Pallavicini

Keyword(s):

Interest Rates ◽

Counterparty Risk ◽

Risk Pricing

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Variance Reduction through Multilevel Monte Carlo Path Calculations

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch12 ◽

2007 ◽

pp. 215-223

Author(s):

Michael Giles

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Multilevel Monte Carlo

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Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch14 ◽

2007 ◽

pp. 255-279 ◽

Cited By ~ 2

Author(s):

Conall O‚ÄôSullivan

Keyword(s):

Kalman Filter ◽

Term Structure ◽

Parameter Uncertainty ◽

Structure Model ◽

Term Structure Model

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Pricing High-Dimensional American Options Using Local Consistency Conditions

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch2 ◽

2007 ◽

pp. 13-52

Author(s):

J Schumacher ◽

S Berridge

Keyword(s):

American Options ◽

High Dimensional ◽

Local Consistency ◽

Consistency Conditions

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An Efficient Numerical Method for Pricing Interest Rate Swaptions

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch7 ◽

2007 ◽

pp. 113-147

Author(s):

Bernard Murphy ◽

Mark Cummins

Keyword(s):

Interest Rate ◽

Numerical Method

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EDDIE for Discovering Arbitrage Opportunities

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch15 ◽

2007 ◽

pp. 281-284

Author(s):

Sheri Markose ◽

Edward Tsang ◽

Hakan Er ◽

Alma Garcia

Keyword(s):

Arbitrage Opportunities

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Value at Risk and Self-Similarity

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch13 ◽

2007 ◽

pp. 225-253 ◽

Cited By ~ 4

Author(s):

Olaf Menkens

Keyword(s):

At Risk ◽

Value At Risk ◽

Self Similarity

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Valuation of Performance-Dependent Options in a Black‚ÄìScholes Framework

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch11 ◽

2007 ◽

pp. 203-214 ◽

Cited By ~ 2

Author(s):

Markus Holtz ◽

Ralf Korn ◽

Thomas Gerstner

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Coherent Measures of Risk into Everyday Market Practice

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series ◽

10.1201/9781584889267.ch1 ◽

2007 ◽

pp. 1-12

Author(s):

Carlo Acerbi

Keyword(s):

Coherent Measures Of Risk ◽

Measures Of Risk ◽

Market Practice

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Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series
Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Chapman And Hall/CRC

Counterparty Risk Pricing under Correlation between Default and Interest Rates

Variance Reduction through Multilevel Monte Carlo Path Calculations

Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model

Pricing High-Dimensional American Options Using Local Consistency Conditions

Sponsors

An Efficient Numerical Method for Pricing Interest Rate Swaptions

EDDIE for Discovering Arbitrage Opportunities

Value at Risk and Self-Similarity

Valuation of Performance-Dependent Options in a Black‚ÄìScholes Framework

Coherent Measures of Risk into Everyday Market Practice

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Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics SeriesLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Chapman And Hall/CRC

Counterparty Risk Pricing under Correlation between Default and Interest Rates

Variance Reduction through Multilevel Monte Carlo Path Calculations

Parameter Uncertainty in Kalman-Filter Estimation of the CIR Term-Structure Model

Pricing High-Dimensional American Options Using Local Consistency Conditions

Sponsors

An Efficient Numerical Method for Pricing Interest Rate Swaptions

EDDIE for Discovering Arbitrage Opportunities

Value at Risk and Self-Similarity

Valuation of Performance-Dependent Options in a Black‚ÄìScholes Framework

Coherent Measures of Risk into Everyday Market Practice

Numerical Methods for Finance - Chapman & Hall/CRC Financial Mathematics Series
Latest Publications