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An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks Journal article
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2016,Volume: 3,Issue: 1
Authors:  U, Sio Chong;  So, Jacky;  Ding, Deng;  Liu, Lihong
Favorite  |  View/Download:6/0  |  Submit date:2019/07/22
Value-at-risk  Log-stable Paretain Distribution  Fourier Expansion  
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:3/0  |  Submit date:2019/07/22
Accumulator  Fourier Cosine Expansions  Monte Carlo Simulation  Discrete Barrier Option  OptiOn On Forward  
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:13/0  |  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:13/0  |  Submit date:2019/05/22
Correlation Options  Gbm Model  Modified Sine-sine Expansions  Rainbow Options  Sv Model  Two-dimensional Fourier Expansions  
Efficient Option Pricing Methods Based on Fourier Series Expansions Journal article
Journal of Mathematical Research & Exposition, 2011,Volume: 31,Issue: 1,Page: 12-22
Authors:  Deng DING;  Sio Chong U
Favorite  |  View/Download:3/0  |  Submit date:2019/07/09
Option Pricing  L´evy Process  Fourier Transform  Fourier Expansions