Numerical methods for finance. (©2008)

• Record Type: Book
• Further Information: Note: Edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
• Other Names: Appleby, John A. D; Edelman, David C (David Charles), 1956-; Miller, J. J. H (John James Henry), 1937-
• Contents: Coherent measures of risk into everyday market practice / Carlo Acerbi -- Pricing high-dimensional American options using local consistency conditions / S.J. Berridge and J.M. Schumacher -- Adverse interrisk diversification effects for FX forwards / Thomas Breuer and Martin Jandačka -- Counterparty risk pricing under correlation between default and interest rates / Damiano Brigo and Andrea Pallavicini -- Optimal dynamic asset allocation for defined contribution pension plans / Andrew J.G. Cairns, David Blake, and Kevin Dowd -- On high-performance software development for the numerical simulation of life insurance policies / S. Corsaro [and others] -- An efficient numerical method for pricing interest rate swaptions / Mark Cummins and Bernard Murphy -- Empirical testing of local cross entropy as a method for recovering asset's risk-neutral PDF from option prices / Vladimír Dobiáš -- Using intraday data to forecast daily volatility : a hybrid approach / David C. Edelman and Francesco Sandrini -- Pricing credit from the top down with affine point processes / Eymen Errais, Kay Giesecke, and Lisa R. Goldberg -- Valuation of performance-dependent options in a Black-Scholes framework / Thomas Gerstner, Markus Holtz, and Ralf Korn -- Variance reduction through multilevel Monte Carlo path calculations / Michael B. Giles -- Value at risk and self-similarity / Olaf Menkens -- Parameter uncertainty in Kalman-filter estimation of the CIR term-structure model / Conall O'Sullivan -- EDDIE for discovering arbitrage opportunities / Edward Tsang [and others].
• Publisher Details: Boca Raton, FL : Chapman & Hall/CRC
• Publication Date: 2008
• Copyright Date: 2008
• Extent: 1 online resource (xiii, 293 pages), illustrations
• Subjects: 332.01/5195; Finance -- Mathematical models -- Congresses; Economics; Models, Theoretical; Finance -- Mathematical models; BUSINESS & ECONOMICS -- Finance; Finance -- Mathematical models; Congresses; Electronic books; Conference papers and proceedings
• Languages: English
• ISBNs: 9781584889267; 1584889268
• Related ISBNs: 9781584889250; 158488925X
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.