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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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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Cummins, Mark (Editor ), Murphy, Finbarr (Editor ), Miller, John J.H (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2012.
Edición:1st ed. 2012.
Colección:Springer Proceedings in Mathematics & Statistics, 19
Temas:
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.