| 1. | Invariant Option Pricing and Minimax Duality of American and Bermudan Options
Publishing author: JAMSHIDIAN Farshid
Co-author(s):
Presentation (2005 - Will be given at April 2005 Risk conference in Monte-Carlo) - English
Online since 2005.04.20 at 14:06:44 - 110 download(s) - 0
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Abstract | Download (pdf - 261 Ko) - Zip version (204 Ko) |
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| 2. | Minimax optimality of Bermudan claims: An arbitrage argument approach without probability theory
Publishing author: JAMSHIDIAN Farshid
Co-author(s):
Working paper (2003) - English
Online since 2003.12.01 at 07:55:22 - 184 download(s) - 2
rating(s) - Average rating (/5): 3
Abstract | Download (pdf - 119 Ko) - Zip version (105 Ko) |
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| 3. | Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)
Publishing author: JAMSHIDIAN Farshid
Co-author(s):
Working paper (2004 - NIB Capital Bank, University of Twente) - English
Online since 2004.07.30 at 15:51:07 - 152 download(s) - 0
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Abstract | Download (pdf - 371 Ko) - Zip version (333 Ko) |
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| 4. | Bermudan Option Pricing with Monte-Carlo Methods
Publishing author: DOUADY Raphael
Co-author(s):
Journal article (2001 - Quantitative Analysis in Financial Markets, World Scientific, M. Avellaneda ed.) - English
Online since 2003.01.13 at 09:50:49 - 599 download(s) - 4
rating(s) - Average rating (/5): 3
Abstract | Download (pdf - 518 Ko) - Zip version (247 Ko) |
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| 5. | Minimax Optimality of Bermudan and American Claims and their Monte-Carlo Upper Bound Approximation: Version II
Publishing author: JAMSHIDIAN Farshid
Co-author(s):
Working paper (2003) - English
Online since 2003.11.19 at 17:39:44 - 182 download(s) - 0
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Abstract | Download (pdf - 229 Ko) - Zip version (204 Ko) |
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| 6. | A semi-analytical approach to Canary swaptions in HJM one-factor model
Publishing author: HENRARD Marc
Co-author(s):
Working paper (2003) - English
Online since 2004.02.17 at 13:30:25 - 82 download(s) - 1
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 191 Ko) - Zip version (162 Ko) |
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| 7. | Multiplicative primal-dual bounds for Bermudan options
Publishing author: JAMSHIDIAN Farshid
Co-author(s):
Presentation (2004 - ETH) - English
Online since 2004.01.22 at 09:20:59 - 151 download(s) - 0
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Abstract | Download (pdf - 153 Ko) - Zip version (127 Ko) |
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| 8. | Numerical integration approach to Canary swaption in gaussian JHM model
Publishing author: HENRARD Marc
Co-author(s):
Presentation (2006 - Numerical methods in finance - INRIA Rocquencourt - 2 February 2006) - English
Online since 2006.01.31 at 14:18:25 - 62 download(s) - 0
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Abstract | Download (pdf - 155 Ko) - Zip version (121 Ko) |
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| 9. | Valuation of Cancelable Cross Currency Bermudan Swaps
Publishing author: SHARMA Milind
Co-author(s): STEIN Jonathan
Working paper (1997) - English
Online since 2004.02.03 at 23:56:28 - 120 download(s) - 0
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Abstract | Download (pdf - 568 Ko) - Zip version (559 Ko) |
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