19 search results - page 3 / 4 » Parallel Monte Carlo Methods for Derivative Security Pricing |
IOR
2006
13 years 7 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
DCOSS
2011
Springer
12 years 7 months ago
2011
Springer
—To overcome the limitations of specific positioning techniques for mobile wireless nodes and achieve a high accuracy, the fusion of heterogeneous sensor information is an appea...
WSC
2004
13 years 8 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...
WSC
2007
13 years 9 months ago
2007
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
TIP
2010
13 years 2 months ago
2010
We propose to model the image differentials of astrophysical source maps by Student's t-distribution and to use them in the Bayesian source separation method as priors. We int...