Springer Proceedings in Mathematics

Numerical Methods in Finance

Bordeaux, June 2010

Editors: Carmona, R., Del Moral, P., Hu, P., Oudjane, N. (Eds.)

  • First book in this very precise area
  • Top contributors
  • Pedagogical and self-contained exposition
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About this book

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.

Table of contents (15 chapters)

  • An Introduction to Particle Methods with Financial Applications

    Carmona, René (et al.)

    Pages 3-49

  • American Option Valuation with Particle Filters

    Rambharat, Bhojnarine R.

    Pages 51-82

  • Monte Carlo Methods for Adaptive Disorder Problems

    Ludkovski, Michael

    Pages 83-112

  • Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

    Moral, Pierre (et al.)

    Pages 115-143

  • Optimal Hedging of American Options in Discrete Time

    Rémillard, Bruno (et al.)

    Pages 145-170

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-642-25746-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-3-642-25745-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-3-642-44407-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Numerical Methods in Finance
Book Subtitle
Bordeaux, June 2010
Editors
  • René Carmona
  • Pierre Del Moral
  • Peng Hu
  • Nadia Oudjane
Series Title
Springer Proceedings in Mathematics
Series Volume
12
Copyright
2012
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-25746-9
DOI
10.1007/978-3-642-25746-9
Hardcover ISBN
978-3-642-25745-2
Softcover ISBN
978-3-642-44407-4
Series ISSN
2190-5614
Edition Number
1
Number of Pages
XVIII, 474
Topics