Topics in numerical methods for finance
Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then develo...
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| Hlavní autor: | |
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| Další autoři: | , |
| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Boston, MA :
Springer US
2012.
Cham : Springer Nature |
| Edice: | Springer Proceedings in Mathematics & Statistics
19 |
| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Poznámka: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Topics in Numerical Methods for Finance, Texte imprimé, 9781461434320 |
Obsah:
- On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces Solving Impulse Control Problems with Control Delays FIX: The Fear Index ? Measuring Market Fear American Option Pricing using Simulation and Regression: Numerical Convergence Results The COS Method for Pricing Options under Uncertain Volatility Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps Pricing Credit Derivatives in a Wiener-Hopf Framework The Evaluation of Gas Swing Contracts with Regime Switching A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets
- On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
- Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces
- Solving Impulse Control Problems with Control Delays
- FIX: The Fear Index ? Measuring Market Fear
- American Option Pricing using Simulation and Regression: Numerical Convergence Results
- The COS Method for Pricing Options under Uncertain Volatility
- Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps
- Pricing Credit Derivatives in a Wiener-Hopf Framework
- The Evaluation of Gas Swing Contracts with Regime Switching
- A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets