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Results: 1198

#	Item
331	Microsoft Word - project summary barsky.doc Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2012-10-18 00:19:27 Education Evaluation methods Educational psychology Course evaluation Human–computer interaction Technical communication Usability
332	FAST GREEKS FOR MARKOV-FUNCTIONAL MODELS USING ADJOINT PDE METHODS NICK DENSON AND MARK JOSHI Abstract. This paper demonstrates how the adjoint PDE method can be used to compute Greeks in Markov-functional models. This i Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:21:40 Operator theory Differential equations Multivariable calculus Partial differential equation Black–Scholes Eigenvalues and eigenvectors Hermitian adjoint Borel functional calculus Algebra Mathematics Mathematical analysis
333	COMpanion map 2012 final2 Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2012-05-21 20:14:59 Cirque du Soleil Saltimbanco LMS Jubilee Class
334	MONTE CARLO MARKET GREEKS IN THE DISPLACED DIFFUSION LIBOR MARKET MODEL MARK S. JOSHI AND OH KANG KWON Abstract. The problem of developing sensitivities of exotic interest rates derivatives to the observed implied volati Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:23:08 Investment Interest rate cap and floor Swaption LIBOR market model Interest rate derivative Implied volatility Calibrated geometry Volatility Mathematical finance Financial economics Finance
335	FAST GAMMA COMPUTATIONS FOR CDO TRANCHES MARK JOSHI AND CHAO YANG Abstract. We demonstrate how to compute first- and second-order sensitivities of portfolio credit derivatives such as synthetic collateralized debt obliga Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:19:33 Structured finance Fixed income securities Mortgage-backed security Bonds Funds Collateralized debt obligation Credit derivative Synthetic CDO Copula Financial economics Finance Investment
336	maximum-severity-ruin-interest_revision2.DVI Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:09:38 Operator theory Transforms Constructible universe Laplace transform Continuous function Linear differential equation Heat equation Dirac delta function Mathematical analysis Differential equations Fourier analysis
337	Matrix-form Recursive Evaluation of the Aggregate Claims Distribution Revisited Kok Keng Siaw, Xueyuan Wu∗ Centre for Actuarial Studies, Department of Economics The University of Melbourne, VIC 3010, Australia Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:06:37 Combinatorics Integer sequences Phase-type distribution Markov chain Factorial Mathematics Mathematical analysis Statistics
338	PRICING AND DELTAS OF DISCRETELY-MONITORED BARRIER OPTIONS USING STRATIFIED SAMPLING ON THE HITTING-TIMES TO THE BARRIER MARK JOSHI AND ROBERT TANG Abstract. We develop new Monte Carlo techniques based on stratifying the Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:14:58 Mathematical finance Stochastic processes Probability and statistics Normal distribution Barrier option Black–Scholes Variance reduction Options Statistics Financial economics
339	Microsoft Word - TLU - Overview of the project 27th March 2012 Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2012-10-18 00:19:58 Philosophy of education Distance education E-learning Rote learning Accountancy Management accounting Education Learning Pedagogy
340	MINIMAL PARTIAL PROXY SIMULATION SCHEMES FOR GENERIC AND ROBUST MONTE-CARLO GREEKS JIUN HONG CHAN AND MARK JOSHI Abstract. In this paper, we present a generic framework known as the minimal partial proxy simulation schem Add to Reading List Source URL: fbe.unimelb.edu.au Language: English - Date: 2013-08-05 02:06:38 Variance reduction Stochastic differential equation Statistics Stochastic processes Importance sampling

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