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  • Search: subject:"Finite differences"
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Year of publication
Subject
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finite differences 13 Finite differences 12 Option pricing theory 7 Optionspreistheorie 7 Black-Scholes-Modell 3 Heston 3 Portfolio selection 3 Portfolio-Management 3 Stochastic process 3 Stochastischer Prozess 3 Volatility 3 Volatilität 3 viscosity solution 3 Analysis 2 Anlageverhalten 2 Backward stochastic differential equation 2 Behavioural finance 2 Bermudan options 2 Black-Scholes model 2 Derivat 2 Derivative 2 Discontinuity 2 Expected exposure 2 Finite Differences 2 Finite Differences Method 2 Finite differences for PDE 2 Finite-Differenzen-Methode 2 High-order compact finite differences 2 IPA 2 LR 2 Mathematical analysis 2 Non-linear Monte Carlo methods 2 Real option 2 Theorie 2 Utility indifference 2 financial derivatives 2 numerical computation 2 numerical convergence 2 option pricing 2 partial differential equation 2
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Online availability
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Undetermined 28 Free 3
Type of publication
All
Article 32 Book / Working Paper 5
Type of publication (narrower categories)
All
Article in journal 8 Aufsatz in Zeitschrift 8 Hochschulschrift 1 Thesis 1 Working Paper 1
Language
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Undetermined 23 English 14
Author
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Düring, Bertram 3 Duck, Peter 2 Fournié, Michel 2 Howell, Sydney D. 2 Johnson, Paul 2 Jüngel, Ansgar 2 Oosterlee, Cornelis W. 2 Porchet, Arnaud 2 Signahl, Mikael 2 Touzi, Nizar 2 Warin, Xavier 2 Almendral, Ariel 1 Astrain, D. 1 Bhuruth, M. 1 Boyle, Phelim 1 Briani, Maya 1 Budke, Albrecht 1 Bølviken, Erik 1 COUTROT, Bernard 1 Campbell, L.J. 1 Caramellino, Lucia 1 Charalambides, Ch. A. 1 Christara, Christina C. 1 Dang, Duy Minh 1 Dehghan, Mehdi 1 Dijkshoorn, Lydia 1 Djebali, Ridha 1 Dookhitram, K. 1 Duffy, Daniel J. 1 Ehrhardt, Matthias 1 FENG, QIAN 1 Feng, Qian 1 Fussy, S. 1 GRAAF, CORNELIS S. L. DE 1 Garcia, Salvador 1 Graaf, Cornelis S. L. de 1 Grimm, Volker 1 Grössing, G. 1 Gugat, Martin 1 Günther, Michael 1
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Institution
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Society for Computational Economics - SCE 1 Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften 1
Published in...
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Mathematics and Computers in Simulation (MATCOM) 5 Applied Mathematical Finance 3 CoFE Discussion Paper 2 Computational Statistics 2 International journal of theoretical and applied finance 2 Mathematical Methods of Operations Research 2 The journal of computational finance 2 Annals of the Institute of Statistical Mathematics 1 Applied mathematical finance 1 Computational Optimization and Applications 1 Computing in Economics and Finance 2003 1 Energy 1 Finance Research Letters 1 IMA journal of management mathematics 1 International Journal of Energy Optimization and Engineering (IJEOE) 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 Journal of mathematical finance 1 Metrika 1 Physica A: Statistical Mechanics and its Applications 1 Region et Developpement 1 Renewable Energy 1 Review of Derivatives Research 1 Water Resources Management 1
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Source
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RePEc 25 ECONIS (ZBW) 9 EconStor 1 USB Cologne (EcoSocSci) 1 Other ZBW resources 1
Showing 1 - 10 of 37
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Hedge-fund management with liquidity constraint
Ramirez, Hugo E.; Duck, Peter; Johnson, Paul; Howell, … - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-31
Persistent link: https://www.econbiz.de/10012153086
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Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Hendricks, Christian; Ehrhardt, Matthias; Günther, Michael - In: The journal of computational finance 21 (2017/2018) 5, pp. 1-33
Persistent link: https://www.econbiz.de/10011860891
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The optimal interaction between a hedge fund manager and investor
Ramirez, Hugo Eduardo; Johnson, Paul; Duck, Peter; … - In: Applied mathematical finance 25 (2018) 5/6, pp. 483-510
Persistent link: https://www.econbiz.de/10012129178
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Finite difference methods for the non-linear Black-Scholes-Barenblatt equation
Budke, Albrecht - 2013
Persistent link: https://www.econbiz.de/10010528523
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A Confrontation of Lattice Boltzmann, Finite Difference and Taguchi Experimental Design Results for Optimizing Plasma Spraying Operating Conditions Toward Deposit Requirements
Djebali, Ridha - In: International Journal of Energy Optimization and … 6 (2017) 4, pp. 16-34
The aim of the present work is the confrontation of three numerical techniques results to optimize the operating conditions of thermal plasma spraying process. The Lattice Boltzmann method (LBM) is used to scrutinize dispersion effects of injection parameters on droplet impact characteristics...
Persistent link: https://www.econbiz.de/10012044570
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A hybrid approach for the implementation of the Heston model
Briani, Maya; Caramellino, Lucia; Zanette, Antonio - In: IMA journal of management mathematics 28 (2017) 4, pp. 467-500
Persistent link: https://www.econbiz.de/10011845242
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A family of positivity preserving schemes for numerical solution of Black-Scholes equation
Khalsaraei, M. Mehdizadeh; Jahandizi, R. Shokri - In: International journal of financial engineering 3 (2016) 4, pp. 1-8
Persistent link: https://www.econbiz.de/10011673081
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An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives
Dang, Duy Minh; Christara, Christina C.; Jackson, Kenneth R. - In: The journal of computational finance 18 (2014/2015) 4, pp. 39-93
Persistent link: https://www.econbiz.de/10011441260
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ON POTENTIALIZED PARTIAL FINITE DIFFERENCE EQUATIONS: ANALYZING THE COMPLEXITY OF KNOWLEDGE-BASED SPATIAL ECONOMIC DEVELOPMENTS
COUTROT, Bernard; PAELINCK, Jean H.P.; SALLEZ, Alain; … - In: Region et Developpement 29 (2009), pp. 237-264
available, hence the question of how finite differences could generate PPFDEs (potentialized partial finite difference equations …
Persistent link: https://www.econbiz.de/10009145823
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Pricing of margrabe options for large investors with application to asset-liability management in life insurance
Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122
Persistent link: https://www.econbiz.de/10010380906
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