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American Options Pricing using HJM Approach
Title
American Options Pricing using HJM Approach
Author
Fernando, Wedige
Date Created
2017
Subjects--Topical
Mathematics
Description
With the development of financial markets and increasing demand for managing risk exposure, researchers and practitioners have developed various financial instruments over the years. Options, Futures, Forwards, Swaps are few examples of such instr...
PARALLEL COMPUTING FOR MARKOV CHAINS WITH ISLANDS AND PORTS
Title
PARALLEL COMPUTING FOR MARKOV CHAINS WITH ISLANDS AND PORTS
Author
Basnet, Amod
Date Created
2017
Subjects--Topical
Mathematics
Description
We present recursive algorithms to calculate invariant distributions and fundamental matrices of Markov chains specified by the "Islands & Ports'" (IP) model. The state space of the IP model can be partitioned into "islands'" and "ports". An islan...