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fabio mercurio - ZVAB
www.zvab.com
Claim Pricing and Hedging under Market Imperfections. von Mercurio, Fabio und eine große Auswahl ähnlicher Bücher, Kunst und Sammlerstücke erhältlich auf...
Fabio Mercurio - AbeBooks
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Claim Pricing and Hedging under Market Imperfections. by Mercurio, Fabio and a great selection of related books, art and collectibles available now at...
Discounting, LIBOR, CVA and Funding: Interest Rate and Credit Pricing...
books.google.de
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and...
XVA: Credit, Funding and Capital Valuation Adjustments - Andrew Green...
books.google.de
365–382. Brigo, Damiano and Fabio Mercurio (2003). “Analytical Pricing of the Smile in a Forward LIBOR Market Model”. 3.1, Quantitative Finance, pp. 15–27. Brigo, Damiano and Fabio Mercurio (2006). Interest Rate Models – Theory and Practice. 2nd ed., Springer. Brigo, Damiano and Massimo Morini (2011). “Close Out ...
[ ] Discrete Time vs Continuous Time Stock-price Dynamics and...
arxiv.org
Title:Discrete Time vs Continuous Time Stock-price Dynamics and implications for Option Pricing. Authors:Damiano Brigo, Fabio Mercurio.
Consistent Pricing of FX Options by Antonio Castagna, Fabio Mercurio...
papers.ssrn.com
In the current markets, options with different strikes or maturities are usually priced with different implied volatilities. This stylized fact, which is common
www.math.ku.dk/~rolf/teaching/2007AssetPricingII/FabioOutline.txt
web.math.ku.dk
... Mercurio Fabio [] Sent: Best regards, Fabio Mercurio 1. Introductory elements: General definitions and assumptions. ...
LIBOR Market Models with Stochastic Basis by Fabio Mercurio :: SSRN
papers.ssrn.com
We extend the LIBOR market model to accommodate the new market practice of using different forward and discount curves in the pricing of interest-rate derivativ
T - Fabio Mercurio - Yumpu
www.yumpu.com
PRICING THE SMILE IN A FORWARD LIBOR. MARKET MODEL. FABIO MERCURIO. BANCA IMI, MILAN. http://www.fabiomercurio.it. Joint work with Damiano ...
Brigo
www.mathcare.de
Part I. MODELS: THEORY AND IMPLEMENTATION 1. Definitions and Notation 2. No-Arbitrage Pricing and Numeraire Change 3. One-factor short-rate models
Heston s Stochastic Volatility Model Implementation, Calibration and...
docplayer.net
Germany, 1 Introduction The paper discusses theoretical properties, shows the and Financial Engineering IPEDR vol.12 (2011) (2011) IACSIT Press,
Singapore A Consistent Pricing of FX Options Antonio Castagna Fabio Mercurio Banca ...
Interest Rate Models - Theory and Practice door Damiano Brigo -...
www.managementboek.nl
This book explains how Interest-rate models work and shows how to implement them for concrete pricing. The revised 2nd edition of this book incorporat… -...
Marco Avellaneda Professor of Mathematics Courant Institute of ...
www.math.nyu.edu
Video inteview with Fabio Mercurio at Global Derivatives ("The era of the pure quant is over", April 2013) New techniques for pricing VIX Futures and VXX ...
CiteSeerX — Pricing inflation-indexed options with stochatic...
citeseerx.ist.psu.edu
@TECHREPORT{Mercurio05pricinginflation-indexed, author = {Fabio Mercurio and Nicola Moreni}, title = {Pricing inflation-indexed options with stochatic ...
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