Ausgabe 4/2009
Special Issue on Computational Methods in Finance (Part II)
Inhalt (6 Artikel)
Computing exponential moments of the discrete maximum of a Lévy process and lookback options
Liming Feng, Vadim Linetsky
Fast and accurate pricing of barrier options under Lévy processes
Oleg Kudryavtsev, Sergei Levendorskiǐ
MDP algorithms for portfolio optimization problems in pure jump markets
Nicole Bäuerle, Ulrich Rieder
Open Access
Interacting particle systems for the computation of rare credit portfolio losses
René Carmona, Jean-Pierre Fouque, Douglas Vestal