Essays on mathematical and computational finance: With a view towards applied probability

Authors	P.A.G.J.M. Gruntjes
Supervisors	M.R.H. Mandjes
Cosupervisors	P.J.C. Spreij
Award date	27-09-2013
Number of pages	138
Organisations	Faculty of Science (FNWI) - Korteweg-de Vries Institute for Mathematics (KdVI)
Document type	PhD thesis
Note	Research conducted at: Universiteit van Amsterdam
Language	English
Downloads	Thesis Front cover Title pages Contents 1: Introduction 2: Numerical Wiener-Hopf evaluation 3: Modeling default correlation with applications to CDO pricing 4: The drift adjustment method Laplace algorithm 5: A correlated overflow model Nederlandse samenvatting (Summary in Dutch) Bibliography Stellingen
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