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Vermes, Domokos
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Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation.
1 de 9
Valuation of Mortgage Backed Securities with Prepayment using BDT Model and Monte Carlo Methods
2 de 9
Implementation of Some Finite Difference Methods for the Pricing of Derivatives using C++ Programming.
3 de 9
Portfolio Optimization Based on Robust Estimation Procedures
4 de 9
Value at Risk Models for a Nonlinear Hedged Portfolio
5 de 9
HISTORICAL RISK ASSESSMENT OF A BALANCED PORTFOLIO USING VALUE-AT-RISK
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Transaction costs and resampling in mean-variance portfolio optimization
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Evaluating of path-dependent securities with low discrepancy methods
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Risk Measurement of Mortgage-Backed Security Portfolios via Principal Components and Regression Analyses
9 de 9