Emöke Oldenkamp

Cardano

Researcher

Rotterdam 3011 AA

Netherlands

SCHOLARLY PAPERS

10

DOWNLOADS

2,378

CITATIONS

4

Scholarly Papers (10)

1.

Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility Models

Number of pages: 25 Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 1,437 (12,216)
Citation 4

Abstract:

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cliquet option, Hestonian, Girsanov, Greeks

2.

High Dimensional Transformation Algorithms

Number of pages: 19 Posted: 09 Mar 2009
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 206 (145,834)

Abstract:

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Fourier transform inversion, Laplace transform inversion, Gaussian quadrature

3.

Inventory Control and Regenerative Processes: Theory

Number of pages: 23 Posted: 17 Sep 2007
Peter den Iseger, Emöke Oldenkamp and J. B. G. Frenk
Cardano Risk Management, Cardano and Erasmus University, Rotterdam (EUR) - Department of Econometrics
Downloads 181 (164,332)

Abstract:

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supply chain management, regenerative processes, inventory management, Laplace Transforms

4.

Computing Greeks: A Drift-Adjustment Technique for European and Asian Style Derivatives

Number of pages: 15 Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 161 (181,962)

Abstract:

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derivatives, girsanov, algorithm, securities

5.

Inventory Control and Regenerative Processes: Computations

Number of pages: 25 Posted: 17 Sep 2007
Peter den Iseger, Emöke Oldenkamp and J. B. G. Frenk
Cardano Risk Management, Cardano and Erasmus University, Rotterdam (EUR) - Department of Econometrics
Downloads 104 (255,122)
Citation 1

Abstract:

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supply chain management, regenerative processes, inventory management, Laplace Transforms

6.

Single Item Inventory Models - A Time- and Event- Averages Approach

Number of pages: 24 Posted: 15 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 99 (263,745)

Abstract:

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supply chain management, stochastic processes, inventory management

7.

Optimal Continuous Order Quantity (s, S) Policies - The 45-Degrees Algorithm

Number of pages: 26 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 78 (306,012)

Abstract:

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supply chain management, inventory management, optimization

8.

Wide Sense One-Dependent Processes with Embedded Harris Chains and their Applications in Inventory Management

Econometric Institute Report No. EI 2002-44
Number of pages: 30 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 56 (364,426)
Citation 1

Abstract:

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supply chain management, Markov processes, stochastic processes

9.

A Two Level Decentralized Distribution System with Compound Renewal Demand

Econometric Institute Report No. EI 2002-45
Number of pages: 6 Posted: 17 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano
Downloads 56 (364,426)

Abstract:

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10.

Pricing Guaranteed Return Rate Products and Discretely Sampled Asian Options

Journal of Computational Finance, Vol. 9, No. 3, 2006
Posted: 18 Sep 2007
Peter den Iseger and Emöke Oldenkamp
Cardano Risk Management and Cardano

Abstract:

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Laplace, inversion technique, pricing algorithm, Greeks, guaranteed return rate products