Numerical methods in finance : Bordeaux, June 2010
Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the m...
Sparad:
| Huvudupphovsman: | |
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| Övriga upphovsmän: | , , |
| Materialtyp: | Livre numérique |
| Språk: | Anglais |
| Publicerad: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Serie: | Springer Proceedings in Mathematics
12 |
| Ämnen: | |
| Länkar: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Anmärkning: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Numerical methods in finance, Bordeaux, June 2010, René A. Carmona, Pierre Del Moral, Pen hu, Nadia Oudjane, editors, Berlin, Springer, 2012, 1 vol. (XVII-471 p.), Springer Proceedings in Mathematics, 978-3-642-25745-2 |
Innehållsförteckning:
- Part I: Particle Methods in Finance
- Part II: Numerical methods for backward conditional expectations
- Part III: Numerical methods for energy derivatives
- 1 R. Carmona, P. Del Moral, P. Hu, N, Oudjane: An Introduction to Particle Methods with Financial Applications
- 2.Bhojnarine R. Rambharat: American option valuation with particle filters
- 3.Michael Ludkovski: Monte Carlo Methods for Adaptive Disorder Problems
- 4.Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthale: Monte Carlo approximations of American options that preserve monotonicity and convexity
- 5.Bruno Rémillard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou: Optimal Hedging of American Options in Discrete Time
- 6.Gilles Pagès and Benedikt Wilbertz: Optimal Delaunay and Voronoi quantization schemes for pricing American style options
- 7.Bruno Bouchard, Xavier Warin: Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- 8.Christian Bender and Jessica Steiner: Least-squares Monte Carlo for backward SDEs
- 9.Lisa J. Powers, Johanna Nešlehová, and David A. Stephens: Pricing American Options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation
- 10.Bowen Zhang and Cornelis W. Oosterlee: Fourier Cosine Expansions and Put Call Relations for Bermudan Options
- 11.Klaus Wiebauer: A practical view on valuation of multi-exercise American style options in gas and electricity markets
- 12. Marie Bernhart, Huyen Pham, Peter Tankov and Xavier Warin: Swing Options Valuation: a BSDE with Constrained Jumps Approach
- 13.François Turboult and Yassine Youlal: Swing option pricing by optimal exercise boundary estimation
- 14.Xavier Warin: Gas Storage Hedging
- 15.J.Frédéric Bonnans, Zhihao Cen, Thibault Christel: Sensitivity analysis of energy contracts by stochastic programming techniques.