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...
Clasificación: | Libro Electrónico |
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Autor Corporativo: | |
Otros Autores: | , , |
Formato: | Electrónico eBook |
Idioma: | Inglés |
Publicado: |
New York, NY :
Springer US : Imprint: Springer,
2012.
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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.