Importance Sampling in Lattice Pricing Models (1998)
Binomial lattice models find widespread uses in the valuation of derivative financial instruments. When these instruments are pathdependent (non-Marcovian), it is usually necessary to resort to Monte...
The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps (1998)
Soren S. Nielsen, Ehud I. Ronn
This paper implements a model for the valuation of the default risk implicit in the prices of corporate bonds and interest rate swaps. The analytical approach considers the two essential ingredients...
Soren S. Nielsen, Ehud I. Ronn, Frank Fabozzi, Michael Hemler, William Hoskins, Klaus Toft
The paper presents an arbitrage-free two-factor model for the valuation of the two most important options embedded in the Treasury Bond futures contract: the quality and timing options. The analysis...
Mat-k 3.2 Lecture Notes: Mathematical Modeling and Optimization with Applications in Finance (1998)
this paper we 17
Importance Sampling in Lattice Pricing Models (1997)
Binomial lattice models find widespread uses in the valuation of derivative financial instruments. When these instruments are path-dependent (non-Markovian), it is usually necessary to resort to...
Designing C++ Classes for Scientific Computing. (1997)
We consider the design of C++ classes for abstract data types that are useful in scientific computing, such as vectors and matrices that appear and disappear dynamically, have varying sizes, may be...
The Valuation of Default Risk in Corporate Bonds and Interest Rate Swaps (1997)
Soren S. Nielsen, Ehud I. Ronn, Anthony M. Santomero
: This paper implements a model for the valuation of the default risk implicit in the prices of corporate bonds. The analytical approach considers the two essential ingredients in the valuation of...
Mat-k 3.2 Lecture Notes: Week 4. (1997)
In 1992, the general level of interest rates had risen by 2%, so the (now 231 year) zero now had a yield of 9%, and hence the company's investment was worth 7; 612; 300 Delta 1:09 Gamma23 = 1; 048;...
A Stochastic Programming Model for Funding Single Premium Deferred Annuities (1997)
Soren S. Nielsen, Stavros A. Zenios
Single Premium Deferred Annuities (SPDAs) are investment vehicles, offered to investors by insurance companies as a means of providing income past their retirement age. They are mirror images of...
Mat-k 3.2 Lecture Notes: Week 3. (1997)
this paper we assume that the problem has relatively complete recourse, i.e., problem (4) -- (6) has a feasible solution for any value of the first-stage variable x which satisfies (2)- -(3). In this...
Scalable Parallel Benders Decomposition for Stochastic Linear Programming (1997)
Soren S. Nielsen, Stavros A. Zenios
We develop a scalable parallel implementation of the classical Benders decomposition algorithm for two-stage stochastic linear programs. Using a primal-dual, path-following algorithm for solving the...
Solving Multistage Stochastic Network Programs on Massively Parallel Computers (1997)
Soren S. Nielsen, Stavros A. Zenios
Multi-stage stochastic programs are typically extremely large, and can be prohibitively expensive to solve on the computer. In this paper we develop an algorithm for multistage programs that...
A C++ Class Library for Mathematical Programming (1995)
We present a library of C++ classes for writing mathematical optimization models in C++. The library defines classes to represent the variables and constraints of models, and also defines overloaded...
Dense and Sparse Matrix Classes Using the C++ Standard Template Library.
The C++ programming language has undergone significant changes since its inception in the 1980s. but has now reached a relatively steady state. Standard C++ now includes a general library of...