Computational Finance

Authors and titles for recent submissions

• Wed, 14 Jan 2009
• Mon, 12 Jan 2009
• Fri, 9 Jan 2009
• Wed, 7 Jan 2009
• Tue, 6 Jan 2009

Wed, 14 Jan 2009

[1]  arXiv:0901.1776 (cross-list from q-fin.PR) [ps, pdf, other]

Title: Efficient swaptions price in Hull-White one factor model

Authors: Marc Henrard

Comments: 10 pages, 4 figures

Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP)

Mon, 12 Jan 2009

[2]  arXiv:0901.1218 [pdf, other]

Title: Efficient Pricing of CPPI using Markov Operators

Authors: Louis Paulot, Xavier Lacroze

Comments: 40 pages

Subjects: Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Fri, 9 Jan 2009

[3]  arXiv:0901.0992 [ps, pdf, other]

Title: An Adaptive Markov Chain Monte Carlo Method for GARCH Model

Authors: Tetsuya Takaishi

Comments: 11 pages, 6 figures

Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

Wed, 7 Jan 2009

[4]  arXiv:0901.0638 [pdf, other]

Title: Eco-mputational Finance: Differential Equations for Monte Carlo Recycling

Authors: William T. Shaw

Comments: Revision includes new form of normal quantile without break-points, for GPU computations; bugs fixed

Subjects: Computational Finance (q-fin.CP); Statistical Finance (q-fin.ST)

Tue, 6 Jan 2009

[5]  arXiv:0901.0434 (cross-list from q-fin.ST) [ps, pdf, other]

Title: The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map

Authors: William T. Shaw, Ian R.C. Buckley

Comments: Presentation at 2007 IMA First Conference on Computational Finance

Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP)

• Wed, 14 Jan 2009
• Mon, 12 Jan 2009
• Fri, 9 Jan 2009
• Wed, 7 Jan 2009
• Tue, 6 Jan 2009