Hostname: page-component-84b7d79bbc-fnpn6 Total loading time: 0 Render date: 2024-07-28T22:51:10.145Z Has data issue: false hasContentIssue false
  • English
  • Français

Numerical methods for quantitative finance

Published online by Cambridge University Press:  17 April 2009

Jamie Alcock
Jamie Alcock
Affiliation:
UQ Business School, University of Queensland, Brisbane 4072, Australia, e-mail: j.alcock@business.uq.edu.au
Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Abstracts of Australasian Ph.D. Theses
Information
Bulletin of the Australian Mathematical Society , Volume 72 , Issue 1 , August 2005 , pp. 173 - 176
Copyright
Copyright © Australian Mathematical Society 2005

References

[1]Baloi, C., Belward, J., and Bulmer, M., ‘Short-term forecast of the load demand in Victoria’, in International Congress on Modelling and Simulation (Modelling and Simulation Society of Australia and New Zealand Inc., Canberra, 2004), pp. 1065–1070.Google Scholar
[2]Black, F. and Scholes, M., ‘The pricing of options and corporate liabilities’, J. Political Economy 81 (1973), 637–654.Google Scholar
[3]Clewlow, L. and Strickland, C., Energy derivatives: Pricing and risk management (Lacima Publications, Sydney, London 2000).Google Scholar
[4]Merton, R., ‘Theory of rational option pricing’, Bell J. Econ. and Management Sci. 4 (1973), 141–183.Google Scholar
[5]Milstein, G., Platen, E., and Schurz, H., ‘Balanced implicit methods for stiff stochastic systems’, SIAM J. Num. Anal. 35 (1998), 1010–1019.CrossRefGoogle Scholar
[6]NEMMCO Ltd, Melbourne, An Introduction to Australia's national electricity market, 2004.Google Scholar
[7]Pilipovic, D., Energy risk: Valuing and managing energy derivatives (McGraw-Hill, New York, 1998).Google Scholar
[8]Rothwell, G. and Gómez, T., Electricity economics: Regulation and deregulation (Wiley, Hoboken, 2003).CrossRefGoogle Scholar
[9]Sagirow, P., Stochastic methods in the dynamics of satellites, CISM Lecture Notes 57 (Udine, 1970)CrossRefGoogle Scholar
[10]Schweppe, F., Caramanis, M., Tabors, R., and Bohn, R., Spot pricing of electricity (Kluwer Academic Publishers, Boston, 1988).CrossRefGoogle Scholar
[11]Simshauser, P., Microeconomic reform of wholesale power markets: A dynamic partial equilibrium analysis of negative externalities, (Ph.D. thesis) (The University of Queensland, Australia, 2001).Google Scholar
[12]Stutzer, M., ‘A simple nonparametric approach to derivative security valuation’, J. Finance 51 (1996), 1633–1652.CrossRefGoogle Scholar