Fast and flexible libor model pricing : two-stage Monte Carlo and on-the-fly payoff processing
Year of publication: |
2008
|
---|---|
Authors: | Auer, M. ; Biffl, S. |
Published in: |
Computational finance and its applications III : [papers presented at the Conference Computational Finance 2008, held in Cádiz in Spain]. - Southampton [u.a.] : WIT Press, ISBN 1-84564-111-6. - 2008, p. 23-31
|
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
-
Asymptotic formulas for the derivates of probability functions and their Monte Carlo estimations
Garnier, Josselin, (2009)
-
Estimating sensitivities of temperature-based weather derivatives
Yuan, Wei, (2015)
-
Least square regression methods for Bermudan derivatives and systems of functions
Kusuoka, Shigeo, (2015)
- More ...
-
Transferunternehmertum : erfolgreiche Organisation des Technologietransfers
Auer, Michael, (2000)
-
Personalentwicklung und betriebliche Mitbestimmung : eine mikropolitische Analyse
Auer, Manfred, (1994)
-
Product placement : die neue Kunst der geheimen Verführung
Auer, Manfred, (1988)
- More ...