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Carmona, René A.

Numerical Methods in Finance

Carmona, René  A. - Numerical Methods in Finance, ebook

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ISBN: 9783642257469
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Table of contents

1. An Introduction to Particle Methods with Financial Applications
René Carmona, Pierre Moral, Peng Hu, Nadia Oudjane

2. American Option Valuation with Particle Filters
Bhojnarine R. Rambharat

3. Monte Carlo Methods for Adaptive Disorder Problems
Michael Ludkovski

4. Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
Pierre Moral, Bruno Rémillard, Sylvain Rubenthaler

5. Optimal Hedging of American Options in Discrete Time
Bruno Rémillard, Alexandre Hocquard, Hugues Langlois, Nicolas Papageorgiou

6. Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
Gilles Pagès, Benedikt Wilbertz

7. Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
Bruno Bouchard, Xavier Warin

8. Least-Squares Monte Carlo for Backward SDEs
Christian Bender, Jessica Steiner

9. Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation
Lisa J. Powers, Johanna Nešlehová, David A. Stephens

10. Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
Bowen Zhang, Cornelis W. Oosterlee

11. A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets
Klaus Wiebauer

12. Swing Options Valuation: A BSDE with Constrained Jumps Approach
Marie Bernhart, Huyên Pham, Peter Tankov, Xavier Warin

13. Swing Option Pricing by Optimal Exercise Boundary Estimation
François Turboult, Yassine Youlal

14. Gas Storage Hedging
Xavier Warin

15. Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques
J. Frédéric Bonnans, Zhihao Cen, Thibault Christel

Keywords: Mathematics, Game Theory, Economics, Social and Behav. Sciences, Probability Theory and Stochastic Processes, Quantitative Finance

Author(s)
 
 
 
Publisher
Springer
Publication year
2012
Language
en
Edition
2012
Series
Springer Proceedings in Mathematics
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783642257469

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