Overview
- First book in this very precise area
- Pedagogical and self-contained exposition
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Proceedings in Mathematics (PROM, volume 12)
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Table of contents (15 papers)
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Particle Methods in Finance
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Numerical methods for backward conditional expectations
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Numerical methods for energy derivatives
Keywords
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.
Editors and Affiliations
Bibliographic Information
Book Title: Numerical Methods in Finance
Book Subtitle: Bordeaux, June 2010
Editors: René A. Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane
Series Title: Springer Proceedings in Mathematics
DOI: https://doi.org/10.1007/978-3-642-25746-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2012
Hardcover ISBN: 978-3-642-25745-2Published: 26 March 2012
Softcover ISBN: 978-3-642-44407-4Published: 13 April 2014
eBook ISBN: 978-3-642-25746-9Published: 23 March 2012
Series ISSN: 2190-5614
Series E-ISSN: 2190-5622
Edition Number: 1
Number of Pages: XVIII, 474
Topics: Game Theory, Economics, Social and Behav. Sciences, Probability Theory and Stochastic Processes, Quantitative Finance