An Environment for Rapid Derivatives Design and Experimentation
- Submitting institution
-
University of Northumbria at Newcastle
- Unit of assessment
- 11 - Computer Science and Informatics
- Output identifier
- 22063890
- Type
- D - Journal article
- DOI
-
10.1109/JSTSP.2016.2592619
- Title of journal
- IEEE Journal of Selected Topics in Signal Processing
- Article number
- -
- First page
- 1073
- Volume
- 10
- Issue
- 6
- ISSN
- 1932-4553
- Open access status
- Compliant
- Month of publication
- July
- Year of publication
- 2016
- URL
-
-
- Supplementary information
-
-
- Request cross-referral to
- -
- Output has been delayed by COVID-19
- No
- COVID-19 affected output statement
- -
- Forensic science
- No
- Criminology
- No
- Interdisciplinary
- No
- Number of additional authors
-
2
- Research group(s)
-
E - Intelligent Systems Research Group (iSRG)
- Citation count
- 0
- Proposed double-weighted
- No
- Reserve for an output with double weighting
- No
- Additional information
- This work developed a new mathematical framework to support the rapid design and experimentation of financial derivatives. The work impacts the development of tools for modern financial systems which need to respond very quickly in a highly dynamic and fast-changing environment. A Generic Pricing Engine that allows users to specify a wide range of parameters, rapidly devise, simulate, and experiment with new derivates without the need for actual programming has been developed.
- Author contribution statement
- -
- Non-English
- No
- English abstract
- -