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» Pseudorandom Financial Derivatives
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CATS
2007
14 years 11 months ago
A Linear Time Algorithm for Pricing European Sequential Barrier Options
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...
Peng Gao, Ron van der Meyden
66
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AIPS
2003
14 years 11 months ago
Planning for Marketing Campaigns
In business marketing, corporations and institutions are interested in executing a sequence of marketing actions to affect a group of customers. For example, a financial instituti...
Qiang Yang, Hong Cheng
WSC
2004
14 years 11 months ago
A Unified Approach for Finite-Dimensional, Rare-Event Monte Carlo Simulation
We consider the problem of estimating the small probability that a function of a finite number of random variables exceeds a large threshold. Each input random variable may be lig...
Zhi Huang, Perwez Shahabuddin
MP
2006
107views more  MP 2006»
14 years 10 months ago
Optimality conditions in portfolio analysis with general deviation measures
Optimality conditions are derived for problems of minimizing a general measure of deviation of a random variable, with special attention to situations where the random variable cou...
R. Tyrrell Rockafellar, Stan Uryasev, Michael Zaba...
AMC
2005
143views more  AMC 2005»
14 years 10 months ago
Investment with restricted stock and the value of information
In most public companies in China, there are two thirds of shares that cannot be traded freely in the secondary market. These illiquid shares, however, may be allowed to circulate...
Weixing Wu, Yongxiang Wang