Results 11 to 20 of about 156,174 (110)

Heated debates and cool analysis: thinking well about financial ethics [PDF]

, 2015
Not for the first time, the banks and other financial institutions have got themselves – and the rest of us – into a mess, this time on an unprecedented financial and geographical scale.
Cowton, Christopher J., Downs, Yvonne
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Efficient pricing algorithms for exotic derivatives [PDF]

, 2008
Since the Nobel-prize winning papers of Black and Scholes and Merton in 1973, the derivatives market has evolved into a multi-trillion dollar market. Structures which were once considered as exotic are now commonplace, appearing in retail products such
Lord, R. (Roger)
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Finance and the Misallocation of Scientific, Engineering and Mathematical Talent [PDF]

, 2017
The US financial sector has become a magnet for the brightest graduates in the science, technology, engineering and mathematical fields (STEM). We provide quantitative bases for this well-known fact and illustrate its consequences for the productivity ...
Marin, Giovanni, Vona, Francesco
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Matemàtica financera en temps de crisi [PDF]

, 2014
En aquest treball es presenten alguns dels processos i càlculs estocàstics importants per a la teoria quantitativa del risc creditici. Aquesta branca de la matemàtica financera té com a objecte d'estudi els contractes amb risc de fallida, és a dir ...
Valdivia, Arturo
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EDITORIAL: SPECIAL ISSUE ON FINANCIAL MATHEMATICS AND QUANTITATIVE FINANCE [PDF]

The ANZIAM Journal, 2021
SONG-PING ZHU, XIAOPING LU, XIN-JIANG HE
openaire   +1 more source

Preliminary remarks on option pricing and dynamic hedging

, 2012
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging.
Fliess, Michel, Join, Cédric
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Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps [PDF]

, 2014
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be cast ...
Hubalek, Friedrich, Keller-Ressel, Martin, Sgarra, Carlo   +2 more
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Comparison of numerical and analytical approximations of the early exercise boundary of the American put option

, 2010
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American put option paying zero dividends.
Lauko, Martin, Sevcovic, Daniel
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Volatility made observable at last [PDF]

The Cartier-Perrin theorem, which was published in 1995 and is expressed in the language of nonstandard analysis, permits, for the first time perhaps, a clear-cut mathematical definition of the volatility of a financial asset.
Cédric Join, Frédéric Hatt, Michel Fliess   +2 more
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A mathematical proof of the existence of trends in financial time series [PDF]

We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y.
Cédric Join, Michel Fliess
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