JavaScript is disabled for your browser. Some features of this site may not work without it.
UWSpace will be migrating to a new version of its software from July 29th to August 1st. UWSpace will be offline for all UW community members during this time.
Browsing Applied Mathematics by Author "Morley, Christopher Stephen Band"
Morley, Christopher Stephen Band(University of Waterloo, 2011-09-28)
A robust computational framework is presented for the risk-neutral valuation of capital
guarantees written on discretely-reallocated portfolios following the Constant Proportion
Portfolio Insurance (CPPI) strategy. Aiming ...