computational finance

Material de computational finance

1. PRACTICAL finance optimization
2. Options, futures and derivatives
3. Optimization methods in finance
4. Mathematical methods in financial derivatives
5. Numerical methods for procing path dependent options
6. Numerical methods for option princing in jump diffusion makets
7. Stochastic calculus and finance
8. Stochastic control problems in finance
9. Optimal derivative design
10. Valor en riesgo
11. Credit risk: models, derivatives
12. Quantitative risk management
13. Numerical finance
14. Computational challenges in porfolio management
15. Mathematical finance wikipedia
16. Correlation hedging
17. Correlation risk for optimal portfolio choice
18. On the global minimization of the value at risk
19. Finite diferences for option pricing
20. Advanced Derivatives Pricing And Risk Management
21. Derivatives ,Markets, Valuation, and Risk Management
22. Martingales methods in financial modeling
23. Quantitative Methods in derivatives pricing
24. An introduction of the mathematics of finacial derivatives

Articulo

1. Linear Approach for Solving LargeScale Portfolio Optimization Problems in a Lognormal Market
2. Financial risk and financial Risk Management Technology ( RMT)
3. Financial and Economic Networks: An Overview
4. Optimization Applications in Finance
5. Optimization of Conditional Value-at-Risk
6. Stochastic Programming Models in Financial Optimization:
7. Optimization in Finance
8. Financial Optimization and Optimal Pricing Strategies
9. Post-tax optimization with stochastic programming
10. Stochastic orders and their applications in financial optimization
11. Mathematical Models for Financial Optimization
12. A COMPARATIVE STUDY OF LARGE-SCALE NONLINEAR OPTIMIZATION ALGORITHMS
13. Utility maximization and risk minimization in life and pension insurance
14. The Application of Operations Research Techniques to Financial Markets
15. Portfolio Optimization in Corporate Models
16. PORTFOLIO OPTIMIZATION MODELS FOR PROJECT VALUATION
17. A Stochastic optimization aproach for financial decisión making
18. A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility
Correlation Hedging
1. Correlation Hedging
2. Robust Hedging of Volatility Derivatives
3. Management of Structured Products
4. Optimal Asset Allocation with CDOs
5. Portfolio Optimization Risk Measures
6. PRICING AND HEDGING CDOs WITH LE´ VY BASE CORRELATION
Optimal Hedging
1. Optimal Hedging with Basis Risk
2. Numerical methods for optimal hedging portfolios
3. Optimal Hedging with Basis Risk
4. Optimal Hedging with Views: A Bayesian Approach Stochastic Convenience Yield, Optimal Hedging and the Term Structure of Open Interest and Futures Prices
5. Optimal Hedging policies
6. Optimal Hedging of Illiquid Asset Derivatives Using Additive Models 3rd Conference on Financial Engineering Education & Research August 8, 2009, Hitotsubashi University
7. Optimal Hedging Strategies With an Application to Hedge Fund Replication
8. Optimal Hedging with Higher Moments

1. Optimal Portfolios
2. Empirical log-optimal portfolio selections: a survey
3. Stochastic Dominance and Optimal Portfolio
Optimal Security Design
1. Credit Risk Analysis and Security Design
2. Optimal Financial-Market Integration andSecurity Design
3. Optimal Security Design
4. Optimal Security Design
5. Optimal derivatives design for mean–variance agents under adverse selection
6. Security Design with Investor Private Information
7. Optimal Security Design
8. Optimal Security Design and Dynamic Capital Structure in a Continuous-Time Agency Model

Collateralized Debt Obligations
1. Information Asymmetries And Securitization Design
2. Risk And Valuation Of Collateralized Debt Obligations
3. Optimal Bespoke Cdo Design Via Nsga-Ii
4. The Alchemy Of Cdo Credit Ratings
5. Design Of Financial Cdo Squared Transactions Using Constraint Programming
6. Advanced Credit Portfolio Modeling And Cdo Pricing
7. Collateralized Debt Obligation Pricing On The Cell/B.E.
8. Pricing of synthetic CDO tranches, analysis of base correlations and an introduction to dynamic copulas
Credit Derivatives Design
1. Valuing credit derivatives
2. Credit Derivatives
1. Structured Products & Credit Derivatives: the Added Value of Research
3. STOCHASTIC AND COPULA MODELS FOR CREDIT DERIVATIVES
4. Credit DerivativeHandbook 2003 A Guide to Products, Valuation, Strategies and Risks
5. FPGA Acceleration of Monte-Carlo Based Credit Derivatives Pricing
6. Financial Risk Management
7. Credit Derivatives Pricing under L¶evy Models
Credit derivatives pricing
1. Credit Risk And Pricing Of Derivatives
2. Partial Differential Equations, And The Pricing Of Credit Derivative.
1. New approaches to the pricing of basket credit derivatives and CDO’s
3. Pricing And Hedging Vulnerable Credit Derivatives With Copulas
4. Approximations And Control Variates For Pricing Portfolio Credit Derivatives
5. Credit Derivatives Pricing Using The Cox Process With Shot Noise Intensity
6. Creditderivativesandriskmanagement
7. Multi-Name Credit Derivatives Pricing And Risk Premia
8. An Introduction To Pricing Methods For Credit Derivatives
9. Modeling Credit Risk And Pricing Credit Derivatives
10. A Beginner's Guide To Credit Derivatives
11. Benchmark Pricing Of Credit Derivatives Under A Standard Market Model
1. New approaches to the pricing of basket credit derivatives and CDO’s
12. Single Sided Jump Models For Credit Derivatives Pricing
13. The J.P. Morgan Guide To Credit Derivatives
Insurance derivatives
1. Derivative Design: Computation and Optimization of the Black-Scholes Equation Solution with a Crank-Nicolson Scheme and SQP-Methods
2. Optimal Derivatives Design under Dynamic Risk Measures
3. Optimal derivatives design for mean–variance agents under adverse selection
4. Insurance derivatives –Convergence of capital markets and insurance markets
5. The Pareto-optimal Design of Term Life Insurance Contracts
6. WEATHER INSURANCE AND DERIVATIVES IN DEVELOPING COUNTRIES
Energy derivatives
1. New Underlying Values for Derivatives
2. Fair Pricing of Energy Derivatives A Comparative Study
3. Energy Price Processes Used for Derivatives Pricing & Risk Management
4. Temperature stochastic modeling and weather derivatives pricing: empirical study with Moroccan data
5. E N E R G Y D E R I V A T I V E S
6. Multi-Factor Energy Price Models And Exotic Derivatives Pricing
Pdo pricing
1. Connecting discrete and continuous path-dependent options
2. Pricing pdo with jump risk vial aplace transform
3. Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge
4. The Path Integral Approach to Financial Modeling and Options Pricing
5. Pricing and Hedging Path-Dependent Options Under the CEV Process
Cmo pricing
1. An investor guide to CMO’s
2. Pricing Mortgage-backed Securities and Collateralized Mortgage Obligations
Odd
1. Optimal Design of Over-the-counter Derivatives in a Principal-Agent Framework
2. Risk Measurement in Portfolio Management
3. Value at Risk and Average Value at Risk
4. Pricing, Hedging and Optimally Designing Derivatives via Minimization of Risk Measures
5. Optimal derivatives design for mean-variance agents underadverse selection
6. Optimal positioning in derivative Securities
7. Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures
8. Optimal Investment with Derivative Securities
9. Pricing, Hedging and Optimally Designing Derivative
10. Optimal Derivatives Design under Dynamic Risk Measures
Levy process
14. Term Structure Driven by general Lévy processes
Wheater derivatives
15. Pricing Weather Derivatives
16. Catastrophe Modelling
17. Weather Derivatives/Insurance
18. Weather Derivatives
19. Weather Risk Management
20. Recent Developments in Transferring Risks
21. The Use of Weather Derivatives in Energy Industry
22. Weather derivative hedging & Swap illiquidity
23. Managing a Portfolio of Weather Derivatives