Numerical Methods in Finance:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2012
|
| Schriftenreihe: | Springer Proceedings in Mathematics
12 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XVII, 471 S. graph. Darst. |
| ISBN: | 3642257453 9783642257452 |
Internformat
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Datensatz im Suchindex
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IMAGE 1
CONTENTS
PART I PARTICLE METHODS IN FINANCE
AN INTRODUCTION TO PARTICLE METHODS WITH FINANCIAL APPLICATIONS 3 RENE
CARMONA, PIERRE DEL MORAL, PENG HU, AND NADIA OUDJANE
AMERICAN OPTION VALUATION WITH PARTICLE FILTERS 51
BHOJNARINE R. RAMBHARAT
MONTE CARLO METHODS FOR ADAPTIVE DISORDER PROBLEMS 83
MICHAEL LUDKOVSKI
PART II NUMERICAL METHODS FOR BACKWARD CONDITIONAL EXPECTATIONS
MONTE CARLO APPROXIMATIONS O F AMERICAN OPTIONS THAT PRESERVE
MONOTONICITY AND CONVEXITY 115
PIERRE DEL MORAL, BRUNO REMILLARD, AND SYLVAIN RUBENTHALER
OPTIMAL HEDGING OF AMERICAN OPTIONS IN DISCRETE TIME 145
BRUNO REMILLARD, ALEXANDRE HOCQUARD, HUGUES LANGLOIS, AND NICOLAS
PAPAGEORGIOU
OPTIMAL DELAUNAY AND VORONOI QUANTIZATION SCHEMES FOR PRICING AMERICAN
STYLE OPTIONS 171
GILLES PAGES AND BENEDIKT WILBERTZ
MONTE-CARLO VALUATION OF AMERICAN OPTIONS: FACTS AND NEW ALGORITHMS TO
IMPROVE EXISTING METHODS 215
BRUNO BOUCHARD AND XAVIER WARIN
LEAST-SQUARES MONTE CARLO FOR BACKWARD SDES 257
CHRISTIAN BENDER AND JESSICA STEINER
X L L L
HTTP://D-NB.INFO/1016844298
IMAGE 2
XIV CONTENTS
PRICING AMERICAN OPTIONS IN AN INFINITE ACTIVITY LEVY MARKET:
MONTE CARLO AND DETERMINISTIC APPROACHES USING A DIFFUSION APPROXIMATION
291
LISA J. POWERS, JOHANNA NESLEHOVA, AND DAVID A. STEPHENS
FOURIER COSINE EXPANSIONS AND PUT-CALL RELATIONS FOR BERMUDAN OPTIONS
323
BOWEN ZHANG AND CORNELIS W. OOSTERLEE
PART III NUMERICAL METHODS FOR ENERGY DERIVATIVES
A PRACTICAL VIEW ON VALUATION OF MULTI-EXERCISE AMERICAN STYLE OPTIONS
IN GAS AND ELECTRICITY MARKETS 353
KLAUS WIEBAUER
SWING OPTIONS VALUATION: A BSDE WITH CONSTRAINED JUMPS APPROACH 379
MARIE BERNHART, HUYEN PHAM, PETER TANKOV, AND XAVIER WARIN
SWING OPTION PRICING BY OPTIMAL EXERCISE BOUNDARY ESTIMATION 401
FRANFOIS TURBOULT AND YASSINE YOULAL
GAS STORAGE HEDGING 421
XAVIER WARIN
SENSITIVITY ANALYSIS OF ENERGY CONTRACTS BY STOCHASTIC PROGRAMMING
TECHNIQUES 447
J. FREDERIC BONNANS, ZHIHAO CEN, AND THIBAULT CHRISTEL |
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| dewey-full | 332.0158 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0158 |
| dewey-search | 332.0158 |
| dewey-sort | 3332.0158 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| spelling | Numerical Methods in Finance ed. by René A. Carmona ... Berlin [u.a.] Springer 2012 XVII, 471 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Springer Proceedings in Mathematics 12 Numerisches Verfahren (DE-588)4128130-5 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)1071861417 Konferenzschrift gnd-content Finanzmathematik (DE-588)4017195-4 s Numerisches Verfahren (DE-588)4128130-5 s b DE-604 Carmona, René 1947- Sonstige (DE-588)122405668 oth Erscheint auch als Online-Ausgabe 978-3-642-25746-9 Springer Proceedings in Mathematics 12 (DE-604)BV039878163 12 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3905502&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731941&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Numerical Methods in Finance |
| title_auth | Numerical Methods in Finance |
| title_exact_search | Numerical Methods in Finance |
| title_full | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_fullStr | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_full_unstemmed | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_short | Numerical Methods in Finance |
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