x****x
发帖数: 87 | 1 Arbitrage Free Pricing of Quanto Swaptions
Phil J. Hunt ,Antoon Pelsser
The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Mathematical foundation of convexity correction
Quantitative Finance, 3(1): 59--65, 2003.
Authors: A. Pelsser
my email, f********[email protected]
many thanks! |
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x****x
发帖数: 87 | 2 Arbitrage Free Pricing of Quanto Swaptions
Phil J. Hunt ,Antoon Pelsser
The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Mathematical foundation of convexity correction
Quantitative Finance, 3(1): 59--65, 2003.
Authors: A. Pelsser
my email, f********[email protected]
many thanks! |
|
x****x
发帖数: 87 | 3 Pricing options with curved boundaries
N Kunitomo, M Ikeda - Mathematical Finance, 1992
Comment on'Pricing double barrier options using Laplace transforms' by Antoo
n Pelsser
CH Hui, CF Lo, PH Yuen - Finance and Stochastics, 2000
非常感谢啊
发到我MSN， f****************[email protected] |
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x****x
发帖数: 87 | 4 Efficient Methods for Valuing Interest Rate Derivatives
Series: Springer Finance
Pelsser, Antoon
2000, XII, 184 p., Uncorr. 3rd printing, Hardcover
ISBN: 978-1-85233-304-1
谁有这本书啊，我要定价一个产品
I also want to price CMS spread range accrual swap,
the point is to estimate the probability, Prob( CMS 10Y - CMS 2Y<-0.1%)=?
would you so kind give me any hints if you got any idea ?
thanks a lot, |
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q***t
发帖数: 21 | 5 我记得跟你说过，看John Hull就行，用不着Pelsser那本。可惜你不信。
BTW, 你是哪家公司的啊？
我本以为Range Accrual这种东东早都应该烂大街了，看来还有人不会玩啊。
不会是个interview问题吧。 |
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k***t
发帖数: 57 | 7 不知这个单子的面向对象是什么
大概看了看 似乎列了40来本 不知道看到哪个程度可以应付quan的面试 又或后面的
hardcore是工作后的进阶的
本人fresh phd还没毕业 大概还有一年多的时间 理工背景 统计有时用用 不知道如何
利用这个书单
谁能指点一下吧 谢了先
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0.0 First steps -- General:
A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbull
C. Introduction to Mathematical Finance: Discrete ... 阅读全帖 |
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