The Mathematical Institute, University of Oxford, Eprints Archive

Items where Research Group is "Mathematical and Computational Finance Group" and Year is 2011

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Number of items: 15.

Cheung, Ho Loon Alan (2011) Utility Maximisation: Non-concave utility and non linear expectation. Masters thesis, oxford university.

Christodoulou, Stavros (2011) Monte Carlo Based Numerical Pricing of Multiple Strike-Reset Options. Masters thesis, oxford university.

Gesell, Sebastian (2011) Semi-robust static Hedging of Barrier Options. Masters thesis, oxford university.

Giles, M. B. and Burgos, Sylvestre (2011) Computing Greeks using multilevel path simulation. Technical Report. .. (Unpublished)

Hoffman, Frederick (2011) Credit Valuation Adjustment. Masters thesis, oxford university.

Jin, Lixing (2011) A new approach to BSDE. Masters thesis, oxford university.

Lam, Kwok-Chung Ivan (2011) Indifference Pricing in a Basis Risk Model with Stochastic Volatility. Masters thesis, oxford university.

Li, Yusong (2011) Forward Performance Measurement with Applications in Indifference Valuation. Masters thesis, oxford university.

liu, qing (2011) Time-Homogeneous Diffusion with a given marginal subordinated by different time changes. Masters thesis, oxford university.

Newbury, James (2011) Applications of Malliavin calculus to the pricing and hedging of Bermudan options. Masters thesis, oxford university.

Primozic, Tom (2011) Estimating expected first passage times using multilevel Monte Carlo algorithm. Masters thesis, oxford university.

Reisinger, Christoph and Giles, M. B. (2011) Stochastic finite differences and multilevel Monte Carlo for a class of SPDEs in finance. Working Paper. N/A. (Submitted)

Wong, Man Kuan (2011) Correlation-sensitive Calibration of a Stochastic Volatility LIBOR Market Model. Masters thesis, oxford university.

Xu, Xingjian (2011) Fake Geometric Brownian Motion And Its Option Pricing. Masters thesis, oxford university.

Yee, Zhao Wei (2011) Models for indices. Masters thesis, oxford university.

This list was generated on Sat Dec 20 00:12:48 2014 GMT.