Recent developments in computational finance: foundations, algorithms and applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey [u.a.]
World Scientific
2013
|
| Schriftenreihe: | Interdisciplinary mathematical sciences
14 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | VIII, 472 S. Ill., graph. Darst. |
| ISBN: | 9789814436427 9814436429 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804149557893791744 |
|---|---|
| adam_text | Titel: Recent developments in computational finance
Autor: Gerstner, Thomas
Jahr: 2013
Contents
Preface v
Foundations 1
1. Multilevel Monte Carlo methods for applications in finance 3
Mike Giles and Lukasz Szpruch
2. Convergence of numerical methods for SDEs in finance 49
Peter Kloeden and Andreas Neuenkirch
3. Inverse problems in finance 81
J. Baumeister
4. Asymptotic and non asymptotic approximations for option valuation 159
R. Bompis and E. Gobet
Algorithms 243
5. Discretization of backward stochastic Volterra integral equations 245
Christian Bender and Stanislav Pokalyuk
6. Semi-Lagrangian schemes for parabolic equations 279
Kristian Debrabant and Espen Robstad Jakobsen
7. Derivative-free weak approximation methods for stochastic differ-
ential equations 299
Kristian Debrabant and Andreas Rößler
viii Contents
8. Wavelet solution of degenerate KolmogorofF forward équations 317
Oleg Reichmann and Christoph Scìnvab
9. Randomized multilevel quasi-Monte Carlo path simulation 3-19
Thomas Gerstner and Marco Noll
Applications 371
10. Drift-Free Simulation methods for pricing cross-market deriva-
tives with LMM 373
J.L. Fernández, M.R. Nogueiras, M. Pou and C. Vazquez
11. Application of simplest random walk algorithms for pricing
barrier options 407
M. Krivko and M. V. Tretyakov
12. Coupling local currency Libor models to FX Libor models 429
John Schoenmakers
13. Dimension-wise decompositions and their efficient parallelization 445
Philipp Schröder, Peter Mlynczak and Gabriel Wittum
|
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| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV040493353 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:24:56Z |
| institution | BVB |
| isbn | 9789814436427 9814436429 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025340292 |
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| physical | VIII, 472 S. Ill., graph. Darst. |
| publishDate | 2013 |
| publishDateSearch | 2013 |
| publishDateSort | 2013 |
| publisher | World Scientific |
| record_format | marc |
| series | Interdisciplinary mathematical sciences |
| series2 | Interdisciplinary mathematical sciences |
| spelling | Gerstner, Thomas Verfasser aut Recent developments in computational finance foundations, algorithms and applications eds.: Thomas Gerstner ... New Jersey [u.a.] World Scientific 2013 VIII, 472 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Interdisciplinary mathematical sciences 14 Stochastische Differentialgleichung (DE-588)4057621-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Computerunterstütztes Verfahren (DE-588)4139030-1 s Stochastische Differentialgleichung (DE-588)4057621-8 s DE-604 Interdisciplinary mathematical sciences 14 (DE-604)BV035420471 14 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025340292&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gerstner, Thomas Recent developments in computational finance foundations, algorithms and applications Interdisciplinary mathematical sciences Stochastische Differentialgleichung (DE-588)4057621-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd |
| subject_GND | (DE-588)4057621-8 (DE-588)4017195-4 (DE-588)4139030-1 |
| title | Recent developments in computational finance foundations, algorithms and applications |
| title_auth | Recent developments in computational finance foundations, algorithms and applications |
| title_exact_search | Recent developments in computational finance foundations, algorithms and applications |
| title_full | Recent developments in computational finance foundations, algorithms and applications eds.: Thomas Gerstner ... |
| title_fullStr | Recent developments in computational finance foundations, algorithms and applications eds.: Thomas Gerstner ... |
| title_full_unstemmed | Recent developments in computational finance foundations, algorithms and applications eds.: Thomas Gerstner ... |
| title_short | Recent developments in computational finance |
| title_sort | recent developments in computational finance foundations algorithms and applications |
| title_sub | foundations, algorithms and applications |
| topic | Stochastische Differentialgleichung (DE-588)4057621-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd |
| topic_facet | Stochastische Differentialgleichung Finanzmathematik Computerunterstütztes Verfahren |
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