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...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Carmona, René (Editor ), Del Moral, Pierre (Editor ), Hu, Peng (Editor ), Oudjane, Nadia (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012.
Edición:1st ed. 2012.
Colección:Springer Proceedings in Mathematics, 12
Temas:
Game theory.
Probabilities.
Social sciences-Mathematics.
Game Theory.
Probability Theory.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Part I: Particle Methods in Finance
  • 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
  • Part II: Numerical methods for backward conditional expectations
  • 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
  • Part III: Numerical methods for energy derivatives
  • 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.  .

Ejemplares similares