Mathematical Finance

DOI10.1002/9780470179789zbMath1157.91003OpenAlexW4248468807MaRDI QIDQ5445704

Christian Fries

Publication date: 5 March 2008

Full work available at URL: https://doi.org/10.1002/9780470179789

zbMATH Keywords

Mathematical financeDerivativesOption PricingInterest Rate Models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Related Items (10)

Stochastic algorithmic differentiation of (expectations of) discontinuous functions (indicator functions) ⋮ LOCAL RISK-MINIMIZATION WITH MULTIPLE ASSETS UNDER ILLIQUIDITY WITH APPLICATIONS IN ENERGY MARKETS ⋮ Optimal Partial Proxy Method for Computing Gammas of Financial Products with Discontinuous and Angular Payoffs ⋮ Neural network calibrated stochastic processes: forecasting financial assets ⋮ Multi-curve Construction ⋮ Option Pricing and Sensitivity Analysis in the Lévy Forward Process Model ⋮ Stochastic automatic differentiation: automatic differentiation for Monte-Carlo simulations ⋮ ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS ⋮ FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS ⋮ THE AFFINE LIBOR MODELS

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