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1.
Model-independence in a fixed-income market and weak optimal transport. by
  • Acciaio, Beatrice
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

2.
A Brief History of CORE. by
  • Avellaneda, Marco, 1955-
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

3.
Improving multi-asset allocation via cost-efficient strategies. by
  • Bernard, Carole
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

4.
Portfolio Selection in Quantile Decision Models. by
  • Castro Filho, Luciano Irineu
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

5.
Excursions in Mathematical Finance. by
  • Cont, Rama
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

6.
Deep XVA Analysis. by
  • Crepey
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

7.
Monetary policy responses to Covid-19: a comparison with the 2008 crisis and implications for the future of central banking. by
  • De Genaro, Alan
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

8.
SABR Type Stochastic Volatily Operator in Hilbert Space. by
  • Douady
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

9.
The Beauty and Power of Forward Equations. by
  • Dupire, Bruno
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

10.
A Multiple Curve Lévy Swap Market Model. by
  • Eberlein, Ernst
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

11.
Reinforcement learning for mean field games and mean field control problems. by
  • Fouque, Jean-Pierre
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

12.
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality. by
  • Frittelli, M. (Marco)
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

13.
Diamond trees and the forest expansion. by
  • Gatheral, Jim
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

14.
Weak Approximations and Vix Option Prices Expansions in Rough Forward Variances Models. by
  • Gobet, Emmanuel
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

15.
Smile Modelling for Exchange-Traded Products on Futures Strategies. by
  • Grasselli, Martino
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

16.
Monetary policy responses to Covid-19: a comparison with the 2008 crisis and implications for the future of central banking. by
  • Grasselli, Matheus
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

17.
VIX-constrained Schrödinger bridges: joint calibration of SPX and VIX smiles with continuous stochastic volatility models. by
  • Guyon, Julien
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

18.
A Data-Driven Market Simulator for Small Data Environments. by
  • Horvath, Blanka
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

19.
Pricing with Variance Gamma Information. by
  • Hughston, L. P, 1951-
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

20.
A Mean-Field Game Approach to Equilibrium Pricing in Renewable Energy Certificate Markets. by
  • Jaimungal, Sebastian
  • Research in Options 2020 (2020: IMPA, Rio de Janeiro, Brazil)
; Format: available online remote
Publication details: Rio de Janeiro: IMPA, 2020
Online access:
Availability: No items available.

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