Recent developments in computational finance :: foundations, algorithms and applications /
Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge sur...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore :
World Scientific,
©2013.
|
| Schriftenreihe: | Interdisciplinary mathematical sciences ;
v. 14. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results. |
| Beschreibung: | 1 online resource |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789814436434 9814436437 1283971526 9781283971522 |
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| contents | 1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez [and others] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum. |
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| spelling | Recent developments in computational finance : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden. Singapore : World Scientific, ©2013. 1 online resource text txt rdacontent computer c rdamedia online resource cr rdacarrier Interdisciplinary mathematical sciences ; vol. 14 1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez [and others] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum. Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results. Includes bibliographical references. English. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast Gerstner, Thomas. Kloeden, Peter. Print version: 9789814436427 Interdisciplinary mathematical sciences ; v. 14. http://id.loc.gov/authorities/names/n2004018211 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=525633 Volltext |
| spellingShingle | Recent developments in computational finance : foundations, algorithms and applications / Interdisciplinary mathematical sciences ; 1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez [and others] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum. Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85048260 |
| 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 / editors, Thomas Gerstner, Peter Kloeden. |
| title_fullStr | Recent developments in computational finance : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden. |
| title_full_unstemmed | Recent developments in computational finance : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden. |
| 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 | Finance Mathematical models. http://id.loc.gov/authorities/subjects/sh85048260 Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models fast |
| topic_facet | Finance Mathematical models. Finances Modèles mathématiques. BUSINESS & ECONOMICS Finance. Finance Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=525633 |
| work_keys_str_mv | AT gerstnerthomas recentdevelopmentsincomputationalfinancefoundationsalgorithmsandapplications AT kloedenpeter recentdevelopmentsincomputationalfinancefoundationsalgorithmsandapplications |