|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910817964203321 |
|
|
Titolo |
Recent developments in computational finance : foundations, algorithms and applications / / editors, Thomas Gerstner, Peter Kloeden |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Singapore, : World Scientific, 2013 |
|
|
|
|
|
|
|
ISBN |
|
1-283-97152-6 |
981-4436-43-7 |
|
|
|
|
|
|
|
|
Edizione |
[1st ed.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (481 p.) |
|
|
|
|
|
|
Collana |
|
Interdisciplinary mathematical sciences ; ; 14 |
|
|
|
|
|
|
Altri autori (Persone) |
|
KloedenPeter E |
GerstnerThomas |
|
|
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Financial engineering |
Finance |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Bibliographic Level Mode of Issuance: Monograph |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references. |
|
|
|
|
|
|
Nota di contenuto |
|
1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez ... [et al.] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum. |
|
|
|
|