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1.
Option Implied Dependence. by
  • Bernard, Carole
  • Bondarenko, Oleg
  • Vanduffel, Steven
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

2.
Fixed Point Method for Fast Smile Calibration of Hybrid Model. by
  • Blacher, Guillaume
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

3.
Derivatives-based portfolio management via multistage stochastic programming. by
  • Consigli, Giorgio
  • Barro, Diana
  • Vivek, Vivek
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

4.
Uncertainty Quantification for XVA Applications. by
  • Crépey, Stéphane
  • Gobet, Emmanuel
  • Fort, Gersende
  • Stazhynski, Uladzislau
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

5.
Regime switching market evolution and calibration, relations to polymodels. by
  • Douady, R
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

6.
Vanishing Contagion Spreads. by
  • Duarte, Diogo
  • Prieto , Rodolfo
  • Rindisbacher, Marcel
  • Saporito, Yuri
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

7.
Behavioral Finance and its Applications. by
  • Dupire, Julia
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

8.
Multiple curve Levy forward price model allowing for negative interest rates. by
  • Eberlein, Ernst
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

9.
Multilevel Monte-Carlo method and lower and upper bounds for Initial Margin computations. by
  • Florian, Bourgey
  • De Marco, Stefano
  • Gobet, Emmanuel
  • Zhou, A
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

10.
On Fairness of Systemic Risk Measures. by
  • Fouque, Jean-Pierre
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

11.
Empirics on CPPI Design Risk. by
  • Gaspar, Raquel M
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

12.
Rough Volatility. by
  • Gatheral, Jim
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

13.
Diamonds and the rough Heston model. by
  • Gatheral, Jim
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

14.
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough). by
  • Grasselli, Martino
  • Callegaro, Giorgia
  • Pagès, Gilles
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

15.
Climate Change, Finance, and Macroeconomics. by
  • Grasselli, Matheus
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

16.
On the Joint Calibration of SPX and VIX Options. by
  • Guyon, Julien
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

17.
Simultaneous Multi-Parameter Choice with Applications in Inverse Option Pricing. by
  • Hofmann, Christopher
  • Hofmann, Bernd
  • Pichler, Alois
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

18.
Machine Learning in Algorithmic Trading. by
  • Jaimungal, Sebastian
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

19.
Mean Field Games with Differing Beliefs for Algorithmic Trading. by
  • Jaimungal, Sebastian
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

20.
Can We Save The Recovery Theorem?/ Eben Maré. by
  • Maré, Eben
  • Flint, Emlyn
  • Research in Options 2018 (2018: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2018
Online access:
Availability: No items available.

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