Efficient pricing algorithms for exotic derivatives - download pdf or read online

By Roger Lord

Show description

Read or Download Efficient pricing algorithms for exotic derivatives PDF

Similar applied mathematicsematics books

Download e-book for kindle: Crime Victims With Developmental Disabilities: Report of a by Joan Petersilia, Joseph Foote, Nancy A. Crowell, National

A record of the nationwide examine Council's Committee on legislation and Justice, from the Workshop on Crime sufferers with Developmental Disabilities, held October 28-29, 1999, in Irvine, CA. The workshop thinking about conceptual concerns corresponding to definitions and measurements, the lifestyles of universal parts in those crimes, and significant issues.

Download e-book for iPad: Fuzzy Set Theory: Applications in the Social Sciences by Dr. Michael J. Smithson, Jay Verkuilen

Fuzzy set thought bargains with units or different types whose limitations are blurry or, in different phrases, "fuzzy. " This publication offers an obtainable creation to fuzzy set concept, targeting its applicability to the social sciences. in contrast to so much books in this subject, Fuzzy Set idea: purposes within the Social Sciences offers a scientific, but useful advisor for researchers wishing to mix fuzzy set conception with average statistical strategies and model-testing.

Extra resources for Efficient pricing algorithms for exotic derivatives

Sample text

The crucial step of the algorithm is the simulation of the integrated square root process conditional upon its start and endpoint. 39) with D( u ) = κ 2 − 2ω 2 iu , the degrees of freedom ν = 4κθ/ω2 and Iν representing the modified Bessel function of the first kind. Finally, τ equals t – s. 39) depends non-trivially on the two realisations v(s) and v(t), it is not an easy task to precompute major parts of the calculations. As a result this step of the algorithm will be highly timeconsuming. It is therefore not surprising that one of our findings in Chapter 6 is that several biased simulation schemes outperform the exact simulation scheme in terms of both speed and accuracy, even when the asset value is only required at one time instance.

If we write u = x + yi, one can check there are values of y where lim D( x + yi) = lim D( x + yi) . Nevertheless this is not a problem either, as for u ∈ Λx the x ↑0 x ↓0 characteristic function is real on the imaginary axis, so that this discontinuity in D(u) does not have an impact on the characteristic function. Under the premise of the rotation count algorithm the assertion is thus true. The remaining problem is now to check that the premise of the rotation count algorithm is true. 25) where x ∈ .

Adding y ∈  where y ≠ 0 to z(x) does not add any discontinuities to the principal argument of z(x) + y when compared to the principal argument of z(x), if and only if: • • Re(z(x)) ∉ (-y,0) for y > 0 whenever Im(z(x)) changes sign; Re(z(x)) ∉ (0,-y) for y < 0 whenever Im(z(x)) changes sign. 42) Let a trajectory from quadrant i to quadrant j, without crossing any quadrants inbetween, be denoted as a tuple (i,j). The direction in which the trajectory is traversed does not matter here. Trajectories of z that do not cause any discontinuities are (1,2), (1,4), (3,4).

Download PDF sample

Efficient pricing algorithms for exotic derivatives by Roger Lord


by Ronald
4.5

Rated 4.93 of 5 – based on 40 votes