| 11. | Black Scholes for option pricing (Monte Carlo method using C++)
Publishing author: BHUTANI Gaurav
Co-author(s):
Software (2005) - English
Online since 2005.09.07 at 10:00:21 - 409 download(s) - 0
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Abstract | Download (ZIP - 78 Ko) - Zip version (79 Ko) |
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| 12. | 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 - 190 download(s) - 0
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Abstract | Download (pdf - 229 Ko) - Zip version (204 Ko) |
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| 13. | ETUDE COMPARATIVE DES METHODES NUMERIQUES DE PRICING DES PRODUITS DE CORRELATION SUR DERIVES DE CREDIT
Publishing author: SABRI Youssef
Co-author(s):
Working paper (2005 - Evry University / Calyon) - French
Online since 2006.10.16 at 22:57:06 - 303 download(s) - 3
rating(s) - Average rating (/5): 5
Abstract | Download (doc - 1573 Ko) - Zip version (493 Ko) |
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| 14. | Valuation of a Homogeneous CDO
Publishing author: PEIXOTO Fabio
Co-author(s):
Master's thesis (2004 - University of Waterloo) - English
Online since 2005.09.14 at 16:46:00 - 230 download(s) - 0
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Abstract | Download (pdf - 278 Ko) - Zip version (232 Ko) |
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| 15. | Robust Monte Carlo simulation for approximate covariance matrices and VaR
Publishing author: KREININ Alexander
Co-author(s): LEVIN Alexander
Journal article (2000 - Probabilistic Constrained Optimization) - English
Online since 2006.03.14 at 18:55:08 - 148 download(s) - 0
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Abstract | Download (pdf - 216 Ko) - Zip version (149 Ko) |
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| 16. | Le problème de la calibration dans les modèles financiers : Etude à partir d'un article de R. Cont et P. Tankov (Calibration problem in financial models)
Publishing author: MOMEYA Ouabo Romuald Hervé
Co-author(s):
Master's thesis (2005 - Université de Yaoundé I) - French
Online since 2006.10.28 at 12:35:22 - 130 download(s) - 0
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Abstract (Abstract in English) | Download (pdf - 510 Ko) - Zip version (0 Ko) |
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| 17. | Real options approach and the flexibility value of a series of uncertain investment projects in a pharmaceutical plant
Publishing author: BEN YOUSSEF Aymen
Co-author(s):
Master's thesis (2004 - ISG Sousse) - English
Online since 2005.09.29 at 22:11:54 - 341 download(s) - 1
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 1263 Ko) - Zip version (1181 Ko) |
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| 18. | Joint Calibration of Option Pricing Models via Particle Methods
Publishing author: ROLAND Sébastien
Co-author(s): AMZAL Billy / EBGUY Yonathan
Working paper (2004 - Université d'Evry & Essec Business School) - English
Online since 2005.08.24 at 16:46:07 - 86 download(s) - 2
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 451 Ko) - Zip version (421 Ko) |
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| 19. | An Application of Malliavin Calculus to Continuous Time Asian Options Greeks
Publishing author: BENHAMOU Eric
Co-author(s):
Working paper (2000) - English
Online since 2002.11.29 at 13:48:26 - 265 download(s) - 2
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 292 Ko) - Zip version (223 Ko) |
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| 20. | Application of Malliavin calculus to the computation of the Greeks
Publishing author: ELIE Romuald
Co-author(s): PREVEL Jean-Charles
Working paper (2003 - Columbia University) - English
Online since 2004.01.06 at 12:15:01 - 230 download(s) - 2
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 1356 Ko) - Zip version (1254 Ko) |
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