3 papers
cond-mat2000
Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
Marc Potters, Jean-Philippe Bouchaud, Dragan Sestovic
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging…
cond-mat.mtrl-sci1998
Quantum mechanical analysis of the elastic propagation of electrons in the Au/Si system: application to Ballistic Electron Emission Microscopy
K. Reuter, P. L. de Andres, F. J. Garcia-Vidal +3
We present a Green's function approach based on a LCAO scheme to compute the elastic propagation of electrons injected from a STM tip into a metallic film. The obtained 2D current…
cond-mat.mtrl-sci1997
A theoretical analysis of Ballistic Electron Emission Microscopy: k-space distributions and spectroscopy
P. L. de Andres, K. Reuter, F. J. Garcia-Vidal +2
We analyze BEEM experiments. At low temperatures and low voltages, near the threshold value of the Schottky barrier, the BEEM current is dominated by the elastic component. Elastic…