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Faster Valuation of Financial Derivatives

by S. Paskov, J. Traub , 1995
"... this paper were obtained using FINDER. One of the improvements was developing the table of primitive polynomials and initial direction numbers for dimensions up to 360. This paper is based on two years of software construction and testing. Preliminary results were presented to a number of New York C ..."
Abstract - Cited by 94 (4 self) - Add to MetaCart
limit ourselves to stating our main conclusions and indicating typical results. For brevity, we shall refer to the method which uses Sobol points as the Sobol method. We summarize our main conclusions regarding the evaluation of this CMO. The conclusions may be divided into three groups.

References

by Delzant Thomas (f-stras, Geom Funct Anal
"... Trees, valuations and the Green-Lazarsfeld set. (English summary) ..."
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Trees, valuations and the Green-Lazarsfeld set. (English summary)

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by Étienne André, Laurent Fribourg, Ulrich Kühne, Romain Soulat
"... Abstract. The tool Imitator implements the Inverse Method (IM) for Timed Automata (TAs). Given a TA A and a tuple π0 of reference valuations for timings, IM synthesizes a constraint around π0 where A behaves in the same discrete manner. This provides us with a quantitative measure of robustness of t ..."
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Abstract. The tool Imitator implements the Inverse Method (IM) for Timed Automata (TAs). Given a TA A and a tuple π0 of reference valuations for timings, IM synthesizes a constraint around π0 where A behaves in the same discrete manner. This provides us with a quantitative measure of robustness

References

by Alvarez-manilla Mauricio (-lndic-c, J. Blanck, Ph. D
"... Extension of valuations on locally compact sober spaces. (English summary) ..."
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Extension of valuations on locally compact sober spaces. (English summary)

Inattentive Valuation and Reference-Dependent Choice ∗

by Michael Woodford, David Laibson, Andrei Shleifer , 2012
"... In rational choice theory, individuals are assumed always to choose the option that will provide them maximum utility. But actual choices must be based on subjective perceptions of the attributes of the available options, and the accuracy of these perceptions will always be limited by the informatio ..."
Abstract - Cited by 6 (0 self) - Add to MetaCart
; focusing effects; decoy effects in consumer choice; reference-dependent valuations; and the co-existence of apparent risk-aversion with respect to gains with apparent risk-seeking with respect to losses. The theory provides optimizing foundations for some aspects of the prospect theory of Kahneman

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by R. Kufakunesu
"... A finite-difference method for the valuation of variance swaps in Barndorff-Nielsen-Shephard stochastic volatility model ..."
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A finite-difference method for the valuation of variance swaps in Barndorff-Nielsen-Shephard stochastic volatility model

References

by Marc J. Goovaerts, Roger J. A. Laeven , 2006
"... This paper presents accurate and easy-computable approximations to the transi-tion density function for general diffusion processes. Maximum likelihood estimation is investigated. Applications to the valuation of derivative securities are briefly dis-cussed. ..."
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This paper presents accurate and easy-computable approximations to the transi-tion density function for general diffusion processes. Maximum likelihood estimation is investigated. Applications to the valuation of derivative securities are briefly dis-cussed.

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by Christian Gollier
"... Take-home message • Most short-term risks are affordable (EP puzzle, insurance puzzle). We should be approximately risk-neutral towards them. • Many long-term risks are critical. Prudence and risk aversion matter a lot in their valuation and management. ― Parametric uncertainty on growth, and on imp ..."
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Take-home message • Most short-term risks are affordable (EP puzzle, insurance puzzle). We should be approximately risk-neutral towards them. • Many long-term risks are critical. Prudence and risk aversion matter a lot in their valuation and management. ― Parametric uncertainty on growth

The Rationality of Consumer Valuations of Multiple Health Risks

by Kip Viscusi , Wesley A Magat , Joel Huberreviewed , An , W Kip Viscusi , Wesley A Magat , Joel Huber , W Kip Viscusi , Wesley A Magat , Joel Huber - Rand J. Econ , 1987
"... JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about J ..."
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JSTOR, please contact support@jstor.org. After developing a conceptual analysis of consumer valuation of multiple risks, we explore both economic and cognitive hypotheses regarding individual risk-taking. Using a sample of over 1,500 consumers, our study ascertains risk-dollar tradeoffs for the risks

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by unknown authors
"... without applications and has no award cycles. This program provides tax rate equalization for local debt service taxes. By providing a guaranteed yield on Interest and Sinking fund (I&S) taxes levied by school districts to pay the principal of and interest on eligible bonds, the program guarante ..."
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guarantees a specific amount of state and local funds per student for each cent of tax effort up to $0.29 per $100 of assessed valuation. Currently, the guaranteed yield for EDA provides $35 per student in average daily attendance (ADA) per penny of tax effort. Only general obligation bonds are eligible
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