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pro vyhledávání: '"Dixon, Maurice"'
Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calcul
Externí odkaz:
http://arxiv.org/abs/physics/0607240
Publikováno v:
In Simulation Modelling Practice and Theory 2008 16(10):1546-1560
Autor:
Dixon, Maurice, Gallop, Julian R., Lambert, Simon C., Lardon, Laurent, Healy, Jerome V., Steyer, Jean-Philippe
Publikováno v:
In Control Engineering Practice 2007 15(8):987-999
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 2007 382(1):121-128
Autor:
Dixon, Maurice, Palke, William E.
Publikováno v:
Journal of Chemical Physics; Sep1974, Vol. 61 Issue 6, p2250-2254, 5p
Autor:
Talia, Domenico, Bilas, Angelos, Dikaiakos, Marios D., Dixon, Maurice, Lambert, Simon C., Gallop, Julian R.
Publikováno v:
Knowledge & Data Management in GRIDs; 2006, p235-249, 15p
Publikováno v:
Flexible & Efficient Information Handling; 2006, p254-257, 4p
Publikováno v:
Journal of the Chemical Society, Faraday Transactions 2: Molecular & Chemical Physics; 1975, Vol. 71, p452-462, 11p
Autor:
Tait, Andrew D., Dixon, Maurice
Publikováno v:
Molecular Physics; May1975, Vol. 29 Issue 5, p1353-1359, 7p