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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...
Persistent link: https://www.econbiz.de/10013521005
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Foundations and Methods of Stochastic Simulation : A First Course
Nelson, Barry L. - 2013
Why Do We Simulate? -- Simulation Programming: Quick Start -- Examples -- Simulation Programming with VBASim -- Two Views of Simulation -- Simulation Input -- Simulation Output -- Experiment Design and Analysis -- Simulation for Research -- VBASim
Persistent link: https://www.econbiz.de/10014016471
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Advanced Simulation-Based Methods for Optimal Stopping and Control : With Applications in Finance
Belomestny, Denis; Schoenmakers, John - 2018
This is an advanced guide to optimal stopping and control, focusing on advanced Monte Carlo simulation and its application to finance. Written for quantitative finance practitioners and researchers in academia, the book looks at the classical simulation based algorithms before introducing some...
Persistent link: https://www.econbiz.de/10012398321
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A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances
Chorro, Christophe - 2015
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....
Persistent link: https://www.econbiz.de/10012401993
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Derivate auf Alternative Investments : Konstruktion und Bewertungsmöglichkeiten
Hoppe, Christian - 2005 - Gabler Edition Wissenschaft
Alternative Investments, die sich durch ihr Streben nach marktphasenunabhängigen, absoluten Renditen auszeichnen, sind in den letzten Jahren verstärkt in den Fokus institutioneller Investoren gerückt. Damit erhalten auch die angebotenen Produktstrukturen auf Hedgefonds und Private Equity...
Persistent link: https://www.econbiz.de/10013517349
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Finanzderivate mit MATLAB® : Mathematische Modellierung und numerische Simulation
Günther, Michael - 2010 - 2., überarbeitete und erweiterte Auflage
In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...
Persistent link: https://www.econbiz.de/10013517186
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Applications of Simulation Methods in Environmental and Resource Economics
Scarpa, Riccardo (contributor); Alberini, Anna (contributor) - 2005
Persistent link: https://www.econbiz.de/10013520450
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Stochastic Processes and Calculus : An Elementary Introduction with Applications
Hassler, Uwe - 2016 - 1st ed. 2016
for modern time series econometrics. Mathematical theory is applied to solve stochastic differential equations and to …
Persistent link: https://www.econbiz.de/10012397196
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Level Crossing Methods in Stochastic Models
Brill, Percy H. - 2017 - 2nd ed. 2017
stochastic application problems, including inventory control, queueing theory, reliability theory, actuarial ruin theory, renewal … theory, pharmacokinetics, and related Markov processes. The second edition includes a new section with a novel derivation of … level-crossing derivation of the finite time-t probability distributions of excess, age, and total life, in renewal theory …
Persistent link: https://www.econbiz.de/10012398207
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Optimization of Stochastic Discrete Systems and Control on Complex Networks : Computational Networks
Lozovanu, Dmitrii - 2015
valuable contribution to the important field of computational network theory …
Persistent link: https://www.econbiz.de/10012401978