Numerical methods in finance [electronic resource] / edited by Michele Breton, Hatem Ben-Ameur

Published:: New York : Springer, [2005]
Copyright Date:: ©2005
Physical Description:: 1 volume
Additional Creators:: Breton, Michèle, Ben-Ameur, Hatem, GERAD, and SpringerLink (Online service)

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Online version: ezaccess.libraries.psu.edu

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Series:

GERAD 25th anniversary series ; 9

Language Note:

Foreword also in French.

Contents:

Corporate Debt Valuation: The Structural Approach / Pascal Francois -- Bessel Processes and Asian Options / Daniel Dufresne -- Dynamic Management of Portfolios with Transaction Costs under Tychastic Uncertainty / Jean-Pierre Aubin, Dominique Pujal, Patrick Saint-Pierre -- The Robust Control Approach to Option Pricing and Interval Models: An Overview / Pierre Bernhard -- A Finite Element Method for Two Factor Convertible Bonds / Javier de Frutos -- On Numerical Methods and the Valuation of American Options / Mondher Bellaiah -- Valuing American Contingent Claims when Time to Maturity is Uncertain / Tony Berrada -- Foreign Direct Investment: The Incentive to Expropriate and the Cost of Expropriation Risk / Ephraim Clark -- Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions / Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf -- A Stochastic Discount Factor-Based Approach for Fixed-Income Mutual Fund Performance Evaluation / Mohamed Ayadi, Lawrence Kryzanowski -- Portfolio Selection with Skewness / Phelim Boyle, Brian Ding -- Continuous Min-Max Approach for Single Period Portfolio Selection Problem / Nalan Gulpmar, Berc Rustem

Subject(s):

Finance—Mathematical models

ISBN:

9780387251189

Note:

Description based on print version record.
AVAILABLE ONLINE TO AUTHORIZED PSU USERS.

Bibliography Note:

Includes bibliographical references.

Reproduction Note:

Electronic reproduction. Berlin : Springer, 2005. Mode of access: World Wide Web. Available via SpringerLink.

View MARC record | catkey: 4561592