http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
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 Jandacka -- 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 / Vladimir Dobias -- 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].
edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006.
Chapman & Hall/CRC financial mathematics series