Titlebook: Computational Methods in Decision-Making, Economics and Finance; Erricos John Kontoghiorghes,Berc Rustem,Stavros Si Book 2002 Springer Sci

preservative

Immunotherapy

埋伏

咆哮

Flagging

Simulations for Hedging Financial Contracts with Optimal Decisionsor financial contracts with embedded optimization features. As a case study, we provide simulations of mutual fund guarantees offering a reset provision. In Canada, these types of contracts are known as segregated funds. The optimization component of these contracts allows the holder to lock in mark

CLOT

Automatic Differentiation for Computational Finance. The basic principles of AD and some available tools implementing this technology are reviewed. AD is superior to divided differences because AD-generated derivative values are free of approximation errors, and superior to symbolic differentiation because code of very high complexity can be handled

Camouflage

Interest Rate Barrier Optionsegies. Thus far valuation approaches have largely focused on equity barrier options, where in certain instances analytical expressions may be available. In this paper we use Monte Carlo procedure to value barrier options based on the Chan, Karolyi, Longstaff and Sanders interest rate process. By per

Nebulous

Pricing American Put Options by Fast Solutions of the Linear Complementarity Problemr, the state of the art methods that solve LCP converge slowly. Recently, Dempster, Hutton & Richards have proposed a Linear Program (LP) formulation of the American put and a special simplex algorithm that exploits the option structure. They give numerical examples with run times which grow almost

neoplasm

旅行路線