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- 2007014372 contributor B10765942.
- 2007014372 created "c2008.".
- 2007014372 date "2008".
- 2007014372 date "c2008.".
- 2007014372 dateCopyrighted "c2008.".
- 2007014372 description "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 ... [et al.] -- 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 ... [et al.].".
- 2007014372 description "Includes bibliographical references and index.".
- 2007014372 extent "xiii, 293 p. :".
- 2007014372 identifier "158488925X (alk. paper)".
- 2007014372 identifier "9781584889250 (alk. paper)".
- 2007014372 identifier 2007014372-d.html.
- 2007014372 identifier 2007014372.html.
- 2007014372 isPartOf "Chapman & Hall/CRC financial mathematics series".
- 2007014372 issued "2008".
- 2007014372 issued "c2008.".
- 2007014372 language "eng".
- 2007014372 publisher "Boca Raton, FL : Chapman & Hall/CRC,".
- 2007014372 subject "332.01/5195 22".
- 2007014372 subject "Finance Mathematical models Congresses.".
- 2007014372 subject "HG106 .M55 2007".
- 2007014372 tableOfContents "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 ... [et al.] -- 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 ... [et al.].".
- 2007014372 title "Numerical methods for finance / edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.".
- 2007014372 type "text".