Now showing items 1-4 of 4
Directional Control of Generating Brownian Path under Quasi Monte Carlo
(University of Waterloo, 2012-09-10)
Quasi-Monte Carlo (QMC) methods are playing an increasingly important role in computational finance. This is attributed to the increased complexity of the derivative securities and the sophistication of the financial models. ...
Lognormal Mixture Model for Option Pricing with Applications to Exotic Options
(University of Waterloo, 2012-08-23)
The Black-Scholes option pricing model has several well recognized deficiencies, one of which is its assumption of a constant and time-homogeneous stock return volatility term. The implied volatility smile has been studied ...
Economic Pricing of Mortality-Linked Securities
(University of Waterloo, 2012-09-26)
In previous research on pricing mortality-linked securities, the no-arbitrage approach is often used. However, this method, which takes market prices as given, is difficult to implement in today's embryonic market where ...
Funding Liquidity and Limits to Arbitrage
(University of Waterloo, 2012-06-14)
Arbitrageurs play an important role in keeping market prices close to their fundamental values by providing market liquidity. Most arbitrageurs however use leverage. When funding conditions worsen they are forced to ...