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1
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2
المؤلفون: Yang, Alex
مصطلحات موضوعية: Software_OPERATINGSYSTEMS, Hardware_MEMORYSTRUCTURES, Cancelable swap, interest rate swap, Bermudan swaption, swaption, LGM model, valuation, pricing model, Hardware_ARITHMETICANDLOGICSTRUCTURES, GeneralLiterature_MISCELLANEOUS
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3Conference
المؤلفون: Nan, Zhang, Man, Ka, Lim, Eng
المساهمون: Xi'an Jiaotong-Liverpool University Suzhou, James J. Park, Albert Zomaya, Sang-Soo Yeo, Sartaj Sahni, TC 10, WG 10.3
المصدر: Lecture Notes in Computer Science ; 9th International Conference on Network and Parallel Computing (NPC) ; https://hal.inria.fr/hal-01551371 ; 9th International Conference on Network and Parallel Computing (NPC), Sep 2012, Gwangju, South Korea. pp.472-481, ⟨10.1007/978-3-642-35606-3_56⟩
مصطلحات موضوعية: Parallel computing, Bermudan swaption pricing, LIBOR market model, Monte Carlo simulation, [INFO]Computer Science [cs]
جغرافية الموضوع: Gwangju, South Korea
Relation: hal-01551371; https://hal.inria.fr/hal-01551371; https://hal.inria.fr/hal-01551371/document; https://hal.inria.fr/hal-01551371/file/978-3-642-35606-3_56_Chapter.pdf
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4
المؤلفون: David Lee
مصطلحات موضوعية: Software_OPERATINGSYSTEMS, Hardware_MEMORYSTRUCTURES, Cancelable swap, interest rate swap, Bermudan swaption, swaption, LGM model, valuation, pricing model
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5
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7Academic Journal
مصطلحات موضوعية: Path-dependent options, Bermudan swaption, Credit exposure, Full re-evaluation, Function approximation
Relation: QUANTITATIVE FINANCE; https://qmro.qmul.ac.uk/xmlui/handle/123456789/65362
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8Academic Journal
المؤلفون: Yasuhiro Tamba
المساهمون: The Pennsylvania State University CiteSeerX Archives
مصطلحات موضوعية: Bermudan swaption, swap rate, risk neutral evaluation, dynamic pro- gramming, Hull–White model, calibration
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.536.3278; http://www2.econ.osaka-u.ac.jp/library/global/dp/0503.pdf
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9Academic Journal
المؤلفون: Mikkel Svenstrup
المساهمون: The Pennsylvania State University CiteSeerX Archives
المصدر: http://www.neftci.com/calibration/bermudan-swaption.pdf.
مصطلحات موضوعية: Bermudan swaption, American option, Least Square Monte Carlo, Libor Market Model, Model Risk, Model Calibration
وصف الملف: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.125.5067; http://www.neftci.com/calibration/bermudan-swaption.pdf
الاتاحة: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.125.5067
http://www.neftci.com/calibration/bermudan-swaption.pdf -
10Academic Journal
المؤلفون: Pietersz, Raoul, Pelsser, Antoon, van Regenmortel, Marcel
المصدر: Pietersz , R , Pelsser , A & van Regenmortel , M 2004 , ' Fast Drift Approximated Pricing in the Bgm Model ' , Journal of Computational Finance , vol. 8 , no. 1 , pp. 93-124 . https://doi.org/10.21314/JCF.2004.113
مصطلحات موضوعية: atira/keywords/jel_classifications/g13,
name=g13 - "Contingent Pricing, Futures Pricing, option pricing", BGM model, predictor-corrector, Brownian bridge, Markov processes, seperability, Feynman-Kac, Bermudan swaption وصف الملف: application/pdf
الاتاحة: https://cris.maastrichtuniversity.nl/en/publications/dc83ab5c-0131-4df0-914a-38d92ebbdaa1
https://doi.org/10.21314/JCF.2004.113
https://cris.maastrichtuniversity.nl/ws/files/134198188/Pelsser_2004_Fast_drift_approximated_pricing_in.pdf
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=520424 -
11Academic Journal
المؤلفون: Lalami, S. Z. Rezaei, Levesley, Jeremy, Sajjad, Muhammad F.
مصطلحات موضوعية: Science & Technology, Physical Sciences, Mathematics, Radial Basis Function(RBF), LIBOR Market Model(LMM), Convergence, Bermudan Swaption, Chooser Option, Full grid, Sparse grid
Relation: http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000458626900002&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8c4e325952a993be76947405d4bce7d5; Punjab University Journal of Mathematics, 2018, 50 (4), pp. 23-29 (7); http://pu.edu.pk/images/journal/maths/PDF/Paper-2_50_4_2018.pdf; http://hdl.handle.net/2381/44629
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12
المؤلفون: Drona Kandhai, Qian Feng, Cornelis W. Oosterlee, Shashi Jain, Patrik Karlsson
المساهمون: Scientific Computing
المصدر: Journal of Computational Finance, 20(1), 139-172
مصطلحات موضوعية: Mathematical optimization, 050208 finance, Computer science, Applied Mathematics, Computation, 05 social sciences, Monte Carlo method, Potential future exposure, Risk-neutral measure, potential future exposure (PFE), Bermudan swaption, Computer Science Applications, risk-neutral measure, real-world measure, Bellman equation, 0502 economics and business, credit valuation adjustment (CVA), 050207 economics, Credit valuation adjustment, Finance, Probability measure, Valuation (algebra), credit exposure
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13Report
المؤلفون: Pietersz, R. (Raoul), Pelsser, A.A.J. (Antoon)
المصدر: ERIM report series research in management Erasmus Research Institute of Management
مصطلحات موضوعية: Bermudan swaption, Greeks for callable products, Markov-functional model, hedging, market model, smile, terminal correlation
وصف الملف: application/pdf
Relation: http://repub.eur.nl/pub/1930; urn:hdl:1765/1930
الاتاحة: http://repub.eur.nl/pub/1930
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14Academic Journal
المؤلفون: S. Z. Rezaei Lalami, Jeremy Levesley, Muhammad F. Sajjad
مصطلحات موضوعية: Uncategorized, Science & Technology, Physical Sciences, Mathematics, Radial Basis Function(RBF), LIBOR Market Model(LMM), Convergence, Bermudan Swaption, Chooser Option, Full grid, Sparse grid
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15Book
المؤلفون: Zhang, Nan, Man, Ka Lok, Krilavičius, Tomas
مصطلحات موضوعية: Palūkanos Bermudų opcionams, LIBOR rinkos modelis, Multi-vertybinis Bermudų opcionas, Monte Karlo imitacinis modeliavimas, Interest rate Bermudan swaption, LIBOR market model, Multi-asset Bermudan options, Monte Carlo simulation, Multi-threaded programming, Parallel computing, Informatika / Informatics (N009)
جغرافية الموضوع: NL
وصف الملف: p. 181-194; text/xml
Relation: Transactions on engineering technologies / editors Yang, G.-C., Ao, S.-I., Huang, X., Castillo, O. Netherlands : Springer Science, 2015; SpringerLINK; VDU02-000018626; https://link.springer.com/chapter/10.1007%2F978-94-017-9588-3_14; https://doi.org/10.1007/978-94-017-9588-3_14
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16Academic Journal
المؤلفون: Oosterlee, C.W. (Kees), Feng, Q. (Qian), Jain, S. (Shashi), Karlsson, P.K. (Patrik), Kandhai, B.D.
المصدر: Journal of Computational Finance vol. 20 no. 1, pp. 139-172
مصطلحات موضوعية: credit valuation adjustment (CVA), credit exposure, potential future exposure (PFE), Bermudan swaption, risk-neutral measure, real-world measure
Relation: info:eu-repo/grantAgreement/NWO/12214; https://ir.cwi.nl/pub/24772
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17
المصدر: Journal of Computational Finance. 8(1):93-124
مصطلحات موضوعية: BGM model, predictor-corrector, Markov processes, Contingent Pricing, Futures Pricing, option pricing, Brownian bridge,
g13 - "Contingent Pricing, option pricing", seperability, Bermudan swaption, Feynman-Kac -
18
المؤلفون: Raoul Pietersz, Antoon Pelsser
المساهمون: Quantitative Economics, Finance, RS: GSBE EFME, Faculteit Economie en Bedrijfskunde, Actuarial Science & Mathematical Finance (ASE, FEB)
المصدر: Review of Derivatives Research, 13(3), 245-272. Springer Verlag
Review of Derivatives Research, 13(3), 245-272. Springer New Yorkمصطلحات موضوعية: Factor market, Markov chain, Markov-functional model, market model, Bermudan swaption, terminal correlation, hedging, Greeks for callable products, smile, Economics, Econometrics and Finance (miscellaneous), Single factor, Monte Carlo method, jel:G13, Callable bond, jel:M, Bermudan swaption, Greeks for callable products, Markov-functional model, hedging, market model, smile, terminal correlation, jel:G3, Econometrics, Market model, Hedge (finance), Constant (mathematics), Finance, Mathematics
وصف الملف: application/pdf
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19
المؤلفون: Ka Lok Man, Nan Zhang, Eng Gee Lim
المساهمون: Xi'an Jiaotong-Liverpool University [Suzhou], James J. Park, Albert Zomaya, Sang-Soo Yeo, Sartaj Sahni, TC 10, WG 10.3
المصدر: Lecture Notes in Computer Science
9th International Conference on Network and Parallel Computing (NPC)
9th International Conference on Network and Parallel Computing (NPC), Sep 2012, Gwangju, South Korea. pp.472-481, ⟨10.1007/978-3-642-35606-3_56⟩
Lecture Notes in Computer Science ISBN: 9783642356056
NPCمصطلحات موضوعية: Parallel computing, 050208 finance, Computer science, 05 social sciences, Parallel algorithm, Duality (optimization), Hull–White model, Upper and lower bounds, LIBOR market model, POSIX, Forward rate, Bermudan swaption pricing, 0502 economics and business, Linear algebra, [INFO]Computer Science [cs], 050207 economics, Monte Carlo simulation
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20
المؤلفون: Boukhobza, Ali, Maetz, Jerome
مصطلحات موضوعية: jel:A10, CVA, Credit Valuation Adjustment, WWR, Wrong Way Risk, Hedging, Swap, Bermudan Swaption, EPE, Expected Positive Exposure
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