PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER MARK JOSHI AND ROBERT TANG Abstract. We develop new Monte Carlo techniques based on stratifying the

Source URL: fbe.unimelb.edu.au

• Mathematical finance
• Stochastic processes
• Probability and statistics
• Normal distribution
• Barrier option
• Black–Scholes
• Variance reduction
• Options
• Statistics
• Financial economics

C:/Documents and Settings/londani/Desktop/Muk/Mukhethwa Londani paper.dvi

Source URL: www.statistics.gov.hk

• Options
• Economics
• Stochastic processes
• Statistical mechanics
• Black–Scholes
• Equations
• Warrant
• Brownian motion
• Valuation
• Financial economics
• Finance
• Mathematical finance

Moscow state Lomonosov University Moscow School of Economics Syllabus "Mathematical methods for estimating the derivatives"

Source URL: mse-msu.ru

• Investment
• Mathematical finance
• Derivative
• Black–Scholes
• Credit default swap
• Futures contract
• Hedge
• Volatility smile
• Binomial options pricing model
• Financial economics
• Finance
• Options

GRAPHICAL ASIAN OPTIONS MARK S. JOSHI Abstract. We discuss the problem of pricing Asian options in Black–Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and dis

Source URL: fbe.unimelb.edu.au

• Finance
• Equations
• Probability theory
• Risk-neutral measure
• CUDA
• Asian option
• Black–Scholes
• Heat equation
• Binomial options pricing model
• Financial economics
• Mathematical finance
• Options

FIRST AND SECOND ORDER GREEKS IN THE HESTON MODEL JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present an efficient approach to compute the first and the second order price sensitivities in the Heston model

Source URL: fbe.unimelb.edu.au

• Mathematical finance
• Stochastic processes
• Equations
• Numerical analysis
• Normal distribution
• Black–Scholes
• Discretization
• Variance
• Heston model
• Statistics
• Mathematics
• Mathematical analysis

Joint Statistics Seminar The Hong Kong University of Science and Technology Organized by Department of Information Systems, Business Statistics and Operations Management and

Source URL: www.bm.ust.hk

• Options
• Statistics
• Technical analysis
• Volatility
• Stochastic volatility
• Black–Scholes
• Autoregressive conditional heteroskedasticity
• Time series
• Robert F. Engle
• Mathematical finance
• Financial economics
• Economics

Herausgeber: Die Gruppe der betriebswirtschaftlichen Professoren der Wirtschaftswissenschaftlichen Fakult¨ at der Universit¨ at Passau

Source URL: www.wiwi.uni-passau.de

• Finance
• Normal distribution
• Black–Scholes
• Volatility
• Log-normal distribution
• Tau
• Hull–White model
• Mathematical finance
• Statistics
• Financial economics

STOCHASTIC VOLATILITY AND OPTION PRICING Daniel Dufresne Centre for Actuarial Studies University of Melbourne NovemberTo appear in “Risks and Rewards”, the Society of Actuaries’ Investment Section Newsletter

Source URL: fbe.unimelb.edu.au

• Statistics
• Finance
• Stochastic processes
• Volatility
• Stochastic volatility
• Black–Scholes
• Stochastic differential equation
• Brownian motion
• Valuation of options
• Mathematical finance
• Financial economics
• Options

PDF Document

Source URL: scholes.alfred.edu

Thirty Years from Research and Teaching to Practice

Source URL: www.econ.ntu.edu.tw

• Mathematical sciences
• Stochastic processes
• Game theory
• General equilibrium theory
• Chi-fu Huang
• Mathematical optimization
• Partial differential equation
• Arrow–Debreu model
• Black–Scholes
• Statistics
• Mathematical finance
• Mathematics