3715

edited by John A.D. Appleby, David C. Edelman, John J.H. Miller.

Chapman & Hall/CRC Boca Raton, FL

c2008

xiii, 293 p. ill.

Chapman & Hall/CRC financial mathematics series

Papers first presented at a conference on Numerical Methods for Finance held in Dublin, Ireland in June 2006 , Includes bibliographical references and index , Coherent measures of risk into everyday market practice / Carlo Acerbi -- Pricing high-dimensional American options using local consistency conditions / S.J. Berridge and J.M. Schumacher -- Adverse interrisk diversification effects for FX forwards / Thomas Breuer and Martin Jandacka -- Counterparty risk pricing under correlation between default and interest rates / Damiano Brigo and Andrea Pallavicini -- Optimal dynamic asset allocation for defined contribution pension plans / Andrew J.G. Cairns, David Blake, and Kevin Dowd -- On high-performance software development for the numerical simulation of life insurance policies / S. Corsaro ... [et al.] -- An efficient numerical method for pricing interest rate swaptions / Mark Cummins and Bernard Murphy -- Empirical testing of local cross entropy as a method for recovering assetʹs risk-neutral PDF from option prices / Vladimir Dobias -- Using intraday data to forecast daily volatility : a hybrid approach / David C. Edelman and Francesco Sandrini -- Pricing credit from the top down with affine point processes / Eymen Errais, Kay Giesecke, and Lisa R. Goldberg -- Valuation of performance-dependent options in a Black-Scholes framework / Thomas Gerstner, Markus Holtz, and Ralf Korn -- Variance reduction through multilevel Monte Carlo path calculations / Michael B. Giles -- Value at risk and self-similarity / Olaf Menkens -- Parameter uncertainty in Kalman-filter estimation of the CIR term-structure model / Conall OʹSullivan -- EDDIE for discovering arbitrage opportunities / Edward Tsang ... [et al.].

AU Appleby, John A. D. , AU Edelman, David C (David Charles) 1956- , AU Miller, John (John James Henry) 1937-

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