586 search results - page 43 / 118 » Algorithms for Multi-product Pricing |
CORR
2010
Springer
13 years 7 months ago
2010
Springer
Abstract. In this paper we outline initial concepts for an immune inspired algorithm to evaluate price time series data. The proposed solution evolves a short term pool of trackers...
WSC
2004
13 years 9 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
JMLR
2008
13 years 7 months ago
2008
We analyze the performance of a class of manifold-learning algorithms that find their output by minimizing a quadratic form under some normalization constraints. This class consis...
WSC
2001
13 years 9 months ago
2001
In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection...
WSC
2004
13 years 9 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...