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: 14.

C

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.

G

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 (Unpublished)

H

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

J

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

L

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

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

N

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

P

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

R

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)

W

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

X

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

Y

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

This list was generated on Sat Oct 25 04:12:58 2014 BST.