| Description |
1 online resource (xvii, 490 pages) |
| Series |
Springer Proceedings in Mathematics ; v. 12 |
|
Springer proceedings in mathematics ; v. 12.
|
| Contents |
Part 1. Particle Methods in Finance / An Introduction to Particle Methods with Financial Applications / René Carmona, Pierre Del Moral, Peng Hu and Nadia Oudjane -- American Option Valuation with Particle Filters / Bhojnarine R. Rambharat -- Monte Carlo Methods for Adaptive Disorder Problems / Michael Ludkovski -- Part 2. Numerical methods for backward conditional expectations / Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity / Pierre Del Moral, Bruno Rémillard and Sylvain Rubenthaler -- Optimal Hedging of American Options in Discrete Time / Bruno Rémillard, Alexandre Hocquard, Hugues Langlois and Nicolas Papageorgiou -- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options / Gilles Pagès and Benedikt Wilbertz -- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods / Bruno Bouchard and Xavier Warin -- Least-Squares Monte Carlo for Backward SDEs / Christian Bender and Jessica Steiner -- Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation / Lisa J. Powers, Johanna Nešlehová and David A. Stephens -- Fourier Cosine Expansions and Put-Call Relations for Bermudan Options / Bowen Zhang and Cornelis W. Oosterlee -- Part 3. Numerical Methods for Energy Derivatives / A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets / Klaus Wiebauer -- Swing Options Valuation: A BSDE with Constrained Jumps Approach / Marie Bernhart, Huyên Pham, Peter Tankov and Xavier Warin -- Swing Option Pricing by Optimal Exercise Boundary Estimation / François Turboult and Yassine Youlal -- Gas Storage Hedging / Xavier Warin -- Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques / J. Frédéric Bonnans, Zhihao Cen and Thibault Christel |
| Summary |
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 major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications |
| Analysis |
waarschijnlijkheidstheorie |
|
probability theory |
|
stochastische processen |
|
stochastic processes |
|
wiskunde |
|
mathematics |
|
speltheorie |
|
game theory |
|
finance |
|
Mathematics (General) |
|
Wiskunde (algemeen) |
| Bibliography |
Includes bibliographical references |
| Notes |
English |
|
Print version record |
| Subject |
Business mathematics.
|
|
Finance -- Mathematical models.
|
|
finance |
|
BUSINESS & ECONOMICS -- Economics -- General.
|
|
BUSINESS & ECONOMICS -- Reference.
|
|
Matemáticas financieras
|
|
Finanzas -- Modelos matemáticos
|
|
Business mathematics
|
|
Finance -- Mathematical models
|
| Genre/Form |
Conference papers and proceedings
|
| Form |
Electronic book
|
| Author |
Carmona, R. (René)
|
| LC no. |
2012934046 |
| ISBN |
9783642257469 |
|
3642257461 |
|
1280803002 |
|
9781280803000 |
|
9786613711359 |
|
6613711357 |
|
