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4581.
Research in Options 2020. by
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
  • Avellaneda, Marco, 1955-
  • Zubelli, Jorge P
  • Dupire, Bruno
  • Castro Filho, Luciano Irineu
  • Oliveira, Roberto Imbuzeiro M. F. de
  • Iusem, Alfredo Noel
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4582.
A study of principal eigenportfolios for US equities. by
  • Papanicolaou, George
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4583.
SABR Type Stochastic Volatily Operator in Hilbert Space. by
  • Douady
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4584.
The Beauty and Power of Forward Equations. by
  • Dupire, Bruno
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4585.
Reinforcement learning for mean field games and mean field control problems. by
  • Fouque, Jean-Pierre
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4586.
Price formation and optimal trading in intraday electricity markets. by
  • Tankov, Peter
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4587.
Excursions in Mathematical Finance. by
  • Cont, Rama
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4588.
A Mean-Field Game Approach to Equilibrium Pricing in Renewable Energy Certificate Markets. by
  • Jaimungal, Sebastian
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4589.
Weak Approximations and Vix Option Prices Expansions in Rough Forward Variances Models. by
  • Gobet, Emmanuel
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4590.
A new look at absence of arbitrage. by
  • Schweizer, Martin
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4591.
Joint Modelling and Calibration of SPX and VIX by Optimal Transport. by
  • Obloj, Jan
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4592.
VIX-constrained Schrödinger bridges: joint calibration of SPX and VIX smiles with continuous stochastic volatility models. by
  • Guyon, Julien
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4593.
Differential Machine Learning. by
  • Savine, Antoine
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4594.
A Multiple Curve Lévy Swap Market Model. by
  • Eberlein, Ernst
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4595.
Pricing with Variance Gamma Information. by
  • Hughston, L. P, 1951-
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4596.
Semi-martingale Signatures. by
  • Teichmann, Josef
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4597.
Things we think we know. by
  • Rogers, Cris (Leonard Christopher Gordon)
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4598.
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. by
  • Frittelli, M. (Marco)
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4599.
Deep XVA Analysis. by
  • Crepey
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4600.
A Data-Driven Market Simulator for Small Data Environments. by
  • Horvath, Blanka
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

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