Online Low-Price Guarantees---A Real Options Analysis
Operations Research
Exploiting Loop-Level Parallelism for SIMD Arrays Using OpenMP
IWOMP '07 Proceedings of the 3rd international workshop on OpenMP: A Practical Programming Model for the Multi-Core Era
A computational scheme for uncertain volatility model in option pricing
Applied Numerical Mathematics
Polynomial chaos for simulating random volatilities
Mathematics and Computers in Simulation
PDCN '08 Proceedings of the IASTED International Conference on Parallel and Distributed Computing and Networks
Good news: using news feeds with genetic programming to predict stock prices
EuroGP'08 Proceedings of the 11th European conference on Genetic programming
Expressway investment decision making under uncertainty
FSKD'09 Proceedings of the 6th international conference on Fuzzy systems and knowledge discovery - Volume 4
Pricing American bond options using a penalty method
Automatica (Journal of IFAC)
Pricing American bond options using a penalty method
Automatica (Journal of IFAC)
Convergence analysis of power penalty method for American bond option pricing
Journal of Global Optimization
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Paul Wilmott Introduces Quantitative Finance, Second Edition is an accessible introduction to the classical side of quantitative finance specifically for university students. Adapted from the comprehensive, even epic, works Derivatives and Paul Wilmott on Quantitative Finance, Second Edition, it includes carefully selected chapters to give the student a thorough understanding of futures, options and numerical methods. Software is included to help visualize the most important ideas and to show how techniques are implemented in practice. There are comprehensive end-of-chapter exercises to test students on their understanding.