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Author:   John Miller ,  David Edelman ,  John Appleby
Publisher:   Taylor & Francis Ltd
Imprint:   Chapman & Hall/CRC
Weight:   0.453kg
ISBN:  

9780367388591

ISBN 10:   0367388596
Pages:   312
Publication Date:   19 September 2019
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.

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John A. D. Appleby , David C. Edelman, John J. H. Miller

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