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This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...
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Paper is devoted to various ways of variance reduction for estimation of the price of a weather option on an example based on the model of daily average temperature
Persistent link: https://www.econbiz.de/10009018550
Thesis (MSc (Mathematical Sciences))--University of Stellenbosch, 2011.
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ENGLISH ABSTRACT: Life insurance and pension funds offer a wide range of products that are invested in a mix ofassets. These portfolios (II), underlying the products, are rebalanced back to predetermined fixedproportions on a regular basis. This is done by selling the better performing assets...
Persistent link: https://www.econbiz.de/10009442047
. First, by suggesting the use of the hypergeometric distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the hypergeometric distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011995844
, the hypergeometric, negative hypergeometric, logarithmic series, generalized Waring, Polya and inverse Polya distributions …
Persistent link: https://www.econbiz.de/10005787191
common null model for the number of connections among each country-pair, based on the hypergeometric distribution. Original …
Persistent link: https://www.econbiz.de/10009319141
Persistent link: https://www.econbiz.de/10010510764
. First, by suggesting the use of the hypergeometric distribution to calculate the parameters of sampling plans avoiding the …, discrepancies can be large. The conclusion is that the hypergeometric distribution, ubiquitously available in commonly used software …
Persistent link: https://www.econbiz.de/10011871320