rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Numerical methods for finance
  title info:
    title: MATHnetBASE
  name:
    name part: Appleby, John A. D.
  name:
    name part: Edelman, David C. (David Charles)
    name part: 1956-
  name:
    name part: Miller, John (John James Henry)
    name part: 1937-
  name:
    name part: Taylor & Francis
  type of resource: text
  genre: bibliography
  genre: conference publication
  genre: Electronic books.
  origin info:
    place:
      place term: flu
    date issued: 2008
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xiii, 293 pages)
  table of 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 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].
  note: edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.
  note: Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006.
  subject:
    topic: Finance
    topic: Mathematical models
    genre: Congresses
  classification: HG106 .M55 2007
  classification: 332.015195 N971
  related item:
    title info:
      title: Chapman & Hall/CRC financial mathematics series
  related item:
    identifier: (DLC) 2007014372
  identifier: 9780429142123
  identifier: 9781584889250
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record creation date: 180331
    record change date: 20220613175720.8
    record identifier: in00004580763