In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (”Greeks”). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained by the WKB method. The results are applied in the context of a Libor market model.

Environment Provider Orderbook File Orderbook Distribution Abstract Orderbook Provider Pricing FactoryOrderbook Provider Pricing Factory Pricing Outcome CPLEX Adapter Abstract Solver VCG PricingSolver VCG Pricing

This working paper analyzes the gold price dynamics on the basis of methodology developed by Didier Sornette. Our calculations indicate that this dynamics is close to the one of the " bubbles " studied by Sornette and that the most probable timing of the " burst of the gold bubble " is April – June 2011. The obtained result has been additionally checked with two different methods. First of all,...

Organismic, task, and environmental constraints are known to differ between skilled male female cricket batters during power hitting tasks. Despite these influences, the techniques used in such tasks have only been investigated batters. This study compared kinematics 15 ranging from university international standard. General linear models were assess effect of gender on kinematic parameters des...

Is more intense product market competition and imitation good or bad for growth? This question is addressed in the context of an endogenous growth model with “step-by-step” innovations, in which technological laggards must first catch up with the leading-edge technology before battling for technological leadership in the future. In contrast to earlier Schumpeterian models in which innovations a...

This paper tests the hypothesis that irrational market misvaluation affects firms’ takeover behavior. We employ two contemporaneous proxies for market misvaluation, pre-takeover book/price ratios and pre-takeover ratios of residual income model value to price. Misvaluation of bidders and targets influences the means of payment chosen, the mode of acquisition, the premia paid, target hostility t...

Competition is an increasingly important theme in telecommunications policy. It has been credited with expanding services, lowering prices, and stimulating innovation. (Jamison et al. 2009) But competition can raise difficult challenges for telecommunications policy makers and regulators. One of these challenges is determining the optimal mix of market and regulatory involvement in determinatio...

Numerous research have been discovered to developed internationalization process model (investment to other country market). Like Johanson and Vahlne, they are among the first to discuss the internationalization process model. There are four key items underlying Johanson and Vahlne’s model, those are market knowledge, market commitment, commitment decision, and current activities. However, many...

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. The same stocks and commodities may be listed on multiple exchanges, and traders who want to deal in those goods have a choice of markets in which to trade. While there has been extensive research into agentbased trading in individual markets, there is little work on this kind of multiple market scen...

Designing electronic markets is a difficult task. Due to the complexities inherent to the design, the approach of market engineering provides a structured engineering process that divides the design process into phases and recommends methods to solve the tasks within the single design phases. This paper introduces the tool workbench CAME for designing electronic markets. The workbench supports ...