Volume 57; Issue 3

The ANZIAM Journal

Volume 57; Issue 3
2

HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS

LING, T. G., SHEVCHENKO, P. V.
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 746 KB
english, 2016
3

AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS

LE, NHAT-TAN, LU, XIAOPING, ZHU, SONG-PING
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 126 KB
english, 2016
4

SOLUTIONS AND DIAGNOSTICS OF SWITCHING PROBLEMS WITH LINEAR STATE DYNAMICS

HINZ, J., YAP, N.
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 131 KB
english, 2016
5

SIMULATION OF MULTI-ASSET OPTION GREEKS UNDER A SPECIAL LÉVY MODEL BY MALLIAVIN CALCULUS

LAI, YONGZENG, YAO, HAIXIANG
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 238 KB
english, 2016
6

A LOGNORMAL MODEL FOR DEMAND FORECASTING IN THE NATIONAL ELECTRICITY MARKET

MAISANO, J., RADCHIK, A., LING, T.
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 691 KB
english, 2016
7

CPDO WITH FINITE TERMINATION: MAXIMAL RETURN UNDER CASH-IN AND CASH-OUT CONDITIONS

YANG, X., LIANG, J., WU, Y.
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 498 KB
english, 2016
8

APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY

GOARD, JOANNA
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 250 KB
english, 2016
9

EDITORIAL: STOCHASTIC AND COMPUTATIONAL METHODS IN FINANCE

ZHU, SONG-PING, NOVIKOV, ALEXANDER
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 40 KB
english, 2016
10

ANZ VOLUME 57 ISSUE 3 COVER AND FRONT MATTER

Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 12.42 MB
english, 2016
11

ANZ VOLUME 57 ISSUE 3 COVER AND BACK MATTER

Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 12.69 MB
english, 2016
12

BOUNDS ON PRICES FOR ASIAN OPTIONS VIA FOURIER METHODS

ALEXANDER, SCOTT, NOVIKOV, ALEXANDER, KORDZAKHIA, NINO
Journal:
The ANZIAM Journal
Year:
2016
Language:
english
File:
PDF, 159 KB
english, 2016