John A. D. Appleby , David C. Edelman, John J. H. Miller

• Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.

John A. D. Appleby , David C. Edelman, John J. H. Miller

• Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.

John A. D. Appleby , David C. Edelman, John J. H. Miller

• Coherent Measures of Risk into Everyday Market Practice. Pricing High-Dimensional American Options Using Local Consistency Conditions. Adverse Inter-Risk Diversification Effects for FX Forwards. Counterparty Risk under Correlation between Default and Interest Rates. Optimal Dynamic Asset Allocation for Defined Contribution Pension Plans. On High-Performance Software Development for the Numerical Simulation of Life Insurance Policies. An Efficient Numerical Method for Pricing Interest Rate Swaptions. Empirical Testing of Local Cross Entropy as a Method for Recovering Asset's Risk-Neutral PDF from Option Prices. Using Intraday Data to Forecast Daily Volatility: A Hybrid Approach. Pricing Credit from the Top Down with Affine Point Processes. Valuation of Performance-Dependent Options in a Black-Scholes Framework. Variance Reduction through Multilevel Monte Carlo Path Calculations. Value at Risk and Self-Similarity. Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model. EDDIE for Discovering Arbitrage Opportunities. Index.