Ehrhardt, Matthias

Novel Methods in Computational Finance

Ehrhardt, Matthias - Novel Methods in Computational Finance, ebook


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ISBN: 9783319612829
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Table of contents

Part I. Modelling

1. Nonlinear Parabolic Equations Arising in Mathematical Finance
Daniel Ševčovič

2. Modeling of Herding and Wealth Distribution in Large Markets
Ansgar Jüngel, Lara Trussardi

3. Indifference Pricing in a Market with Transaction Costs and Jumps
Nicola Cantarutti, João Guerra, Manuel Guerra, Maria Rosário Grossinho

4. Negative Rates: New Market Practice
Jörg Kienitz

5. Accurate Vega Calculation for Bermudan Swaptions
Mark Beinker, Sebastian Schlenkrich

6. Modelling and Calibration of Stochastic Correlation in Finance
Long Teng, Matthias Ehrhardt, Michael Günther

Part II. Analysis

7. Lie Group Analysis of Nonlinear Black-Scholes Models
Ljudmila A. Bordag, Ivan P. Yamshchikov

8. Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
Maria Rosário Grossinho, Yaser Faghan, Daniel Ševčovič

9. Stochastic Dynamic Programming and Control of Markov Processes
Manuel Guerra

Part III. Transformation Methods and Special Discretizations

10. Numerical Analysis of Novel Finite Difference Methods
Rafael Company, Vera N. Egorova, Mohamed El Fakharany, Lucas Jódar, Fazlollah Soleymani

11. Modified Barrier Penalization Method for Pricing American Options
Miglena N. Koleva, Radoslav L. Valkov

Part IV. Numerical Methods in Finance

12. Newton-Based Solvers for Nonlinear PDEs in Finance
Shih-Hau Tan, Choi-Hong Lai

13. Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
Walter Mudzimbabwe, Lubin Vulkov

14. A Highly Efficient Numerical Method for the SABR Model
Álvaro Leitao, Lech A. Grzelak, Cornelis W. Oosterlee

15. PDE Methods for SABR
Jörg Kienitz, Thomas McWalter, Roelof Sheppard

Part V. Compact FDMs and Splitting Schemes

16. Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models
Bertram Düring, Christian Hendricks, James Miles

17. Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids
Bertram Düring, Christof Heuer

18. High Order Compact Schemes for Option Pricing with Liquidity Shocks
Miglena N. Koleva, Walter Mudzimbabwe, Lubin G. Vulkov

19. Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
Zuzana Bučková, Matthias Ehrhardt, Michael Günther, Pedro Pólvora

20. Numerical Study of Splitting Methods for American Option Valuation
Karel in ’t Hout, Radoslav L. Valkov

21. High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique
Christian Hendricks, Christof Heuer, Matthias Ehrhardt, Michael Günther

Part VI. Scientific Computing

22. Splitting Methods for Fokker-Planck Equations Related to Jump-Diffusion Processes
Beatrice Gaviraghi, Mario Annunziato, Alfio Borzì

23. A Fokker-Planck Based Approach to Control Jump Processes
Beatrice Gaviraghi, Mario Annunziato, Alfio Borzì

24. Proper Orthogonal Decomposition in Option Pricing
José P. Silva, E. Jan W. ter Maten, Michael Günther, Matthias Ehrhardt

Part VII. High Performance Computing

25. Alternative Parallel Strategies for Linear and Nonlinear PDEs in Option Pricing
Choi-Hong Lai, André M. S. Ribeiro, Natkunam Kokulan

26. Modern Monte Carlo Methods and GPU Computing
Álvaro Leitao, Cornelis W. Oosterlee

27. Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
José Germán López-Salas, Carlos Vázquez Cendón

Part VIII. Software

28. Stochastic Filtering Methods in Electronic Trading
Paul Bilokon, James Gwinnutt, Daniel Jones

29. Using Python to Analyse Financial Markets
Saeed Amen

30. The STRIKE Computational Finance Toolbox
Christof Heuer, Pedro Pólvora, José Silva, Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten

Keywords: Mathematics, Partial Differential Equations, Game Theory, Economics, Social and Behav. Sciences, Quantitative Finance, Computational Mathematics and Numerical Analysis, Probability Theory and Stochastic Processes

Publication year
Mathematics in Industry
Natural Sciences
Printed ISBN

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