Numerical methods in finance : Bordeaux, June 2010
René A. Carmona ... ed.
| Year of publication: |
2012
|
|---|---|
| Other Persons: | Carmona, René (ed.) ; Del Moral, Pierre (ed.) ; Hu, Peng (ed.) ; Oudjane, Nadia (ed.) |
| Publisher: |
Berlin : Springer |
| Subject: | Finanzmathematik | Mathematical finance | Optionspreistheorie | Option pricing theory | Numerisches Verfahren | Numerical analysis | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Theorie | Theory |
| Description of contents: | Table of Contents [gbv.de] ; Description [loc.gov] ; Description [deposit.dnb.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Published items: |
15 hits in ECONIS - Online Catalogue of the ZBW
|
| Extent: | XVII, 471 S. graph. Darst. |
|---|---|
| Series: | Springer proceedings in mathematics. - Berlin : Springer, ISSN 2190-5614, ZDB-ID 2592801-6. - Vol. 12 |
| Conferences: | Workshop on Numerical Methods in Finance ; (Bordeaux, Aquitaine, France) : 2010 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Aufsatzsammlung ; Konferenzschrift ; Sammelwerk ; Collection of articles of several authors |
| Language: | English |
| Notes: | Enth. 15 Beitr. Part 1.Particle Methods in Finance / An Introduction to Particle Methods with Financial Applications 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 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 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. |
| ISBN: | 3-642-25745-3 ; 978-3-642-44407-4 ; 978-3-642-25745-2 ; 978-3-642-25746-9 |
| Classification: | Numerische Mathematik ; Investition, Finanzierung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009532927