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Fast Laplace Transform Methods for Free-Boundary Problems of Fractional Diffusion Equations Journal article
Journal of Scientific Computing, 2018,Volume: 74,Issue: 1,Page: 49-69
Authors:  Zhou,Zhiqiang;  Ma,Jingtang;  Sun,Hai wei
Favorite | View/Download:8/0 | TC[WOS]:6 TC[Scopus]:0 | Submit date:2019/05/27
American Option Pricing  Fractional Diffusion Equations  Free-boundary Problems  Hyperbola Contour Integral  Laplace Transform Methods  Toeplitz Matrix  
Bond and option pricing for interest rate model with clustering effects Journal article
QUANTITATIVE FINANCE, 2018,Volume: 18,Issue: 6,Page: 969-981
Authors:  Zhang, Xin;  Xiong, Jie;  Shen, Yang
Favorite | View/Download:19/0 | TC[WOS]:2 TC[Scopus]:0 | Submit date:2018/10/30
Interest rate modelling  Marked point process  Hawkes processes  Bond pricing  Bond option  
An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2015,Volume: 2,Issue: 2
Authors:  Deng DING;  Wang, WF
Favorite | View/Download:4/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/22
Accumulator  Fourier Cosine Expansions  Monte Carlo Simulation  Discrete Barrier Option  OptiOn On Forward  
Quadratic finite element and preconditioning methods for options pricing in the SVCJ model Journal article
Journal of Computational Finance, 2014,Volume: 17,Issue: 3,Page: 3-30
Authors:  Zhang Y.-Y.;  Pang H.-K.;  Feng L.;  Jin X.-Q.
Favorite | View/Download:16/0 | TC[WOS]:2 TC[Scopus]:0 | Submit date:2019/02/11
Jump Diffusion-processes  Stochastic Volatility  American Options  Returns  Systems  Assets  
Emerging Financial Derivatives Understanding exotic options and structured products Book
London:Routledge, 2014
Authors:  Jerome Yen;  Kin Keung Lai
Favorite | View/Download:6/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/12/10
Economics  Business & Industry  Finance  
Efficient rainbow options pricing methods based on two-dimensional fourier series expansions Conference paper
Applied Mechanics and Materials, Kunming, PEOPLES R CHINA, JUL 17-19, 2013
Authors:  Deng Ding;  Qingjiang Meng;  Jiayu Zheng
Favorite | View/Download:16/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/02/13
Call-on-maximum Option  Gbm Model  Jump-diffusion Model  Put-on-minimum  Two-dimensional Modified Fourier Expansions  
An efficient pricing method for rainbow options based on two-dimensional modified sine-sine series expansions Journal article
International Journal of Computer Mathematics, 2013,Volume: 90,Issue: 5,Page: 1096-1113
Authors:  Qing-Jiang Meng;  Deng Ding
Favorite | View/Download:14/0 | TC[WOS]:5 TC[Scopus]:0 | Submit date:2019/05/22
Correlation Options  Gbm Model  Modified Sine-sine Expansions  Rainbow Options  Sv Model  Two-dimensional Fourier Expansions  
Tri-diagonal preconditioner for pricing options Journal article
Journal of Computational and Applied Mathematics, 2012,Volume: 236,Issue: 17,Page: 4365-4374
Authors:  Pang H.-K.;  Zhang Y.-Y.;  Jin X.-Q.
Favorite | View/Download:8/0 | TC[WOS]:1 TC[Scopus]:0 | Submit date:2019/02/11
European Call Option  Family Of Generating Functions  Nonsymmetric Toeplitz System  Normalized Preconditioned System  Partial Integro-differential Equation  Tri-diagonal Preconditioner  
Fourth-order compact scheme with local mesh refinement for option pricing in jump-diffusion model Journal article
Numerical Methods for Partial Differential Equations, 2012,Volume: 28,Issue: 3,Page: 1079-1098
Authors:  Lee S.T.;  Sun H.-W.
Favorite | View/Download:10/0 | TC[WOS]:5 TC[Scopus]:0 | Submit date:2019/02/13
Fourth-order Compact Scheme  Jump-diffusion  Local Mesh Refinement  Partial Integro-differential Equation  Toeplitz Matrix  
Pricing Callable Bonds Based on Monte Carlo Simulation Techniques Journal article
Technology and Investment, 2012,Volume: 3,Issue: 2,Page: 121--125
Authors:  Deng Ding;  Qi Fu;  Jacky So
Favorite | View/Download:4/0 | TC[WOS]:0 TC[Scopus]:0 | Submit date:2019/07/23
Callable Bond  Monte Carlo Simulation  Cir Model  Embedded Option Pricing