Willmot, P., Dewyne, J., and Howison, S. (1993). Option Pricing: Mathematical Models and Computation. Oxford Financial Press.  Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
How to Write a Financial Contract - Jones, Eber (Correct)
....implementation will consist of a nancial model, together with some discrete numerical method. A tremendous number of di erent nancial models are used today (e.g. Black Scholes, Ho Lee, etc. but only three families of numerical methods are widely used in industry: partial di erential equations [Willmot et al. 1993], Monte Carlo [Boyle et al. 1997] and lattice methods [Cox et al. 1979] This approach is strongly reminiscent of the way in which a compiler is typically structured. The program is rst translated into a low level but machineindependent intermediate language; many optimisations are applied at ....
Willmot, P., Dewyne, J., and Howison, S. (1993). Option Pricing: Mathematical Models and Computation. Oxford Financial Press.
Composing contracts: an adventure in financial engineering.. - Jones, Eber, Seward (2000) (5 citations) (Correct)
....to concrete implementation. An implementation will consist of a nancial model, associated to some discrete numerical method. A tremendous number of di erent nancial models are used today; but only three families of numerical methods are widely used in industry: partial di erential equations [18], Monte Carlo [1] and lattice methods [5] This approach is strongly reminiscent of the way in which a compiler is typically structured. The program is rst translated into a low level but machine independent intermediate language; many optimisations are applied at this level; and then the ....
P. Willmot, J.N. Dewyne, and S.D. Howison. Option Pricing: Mathematical Models and Computation. Oxford Financial Press, 1993. 13
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