Numerical Methods in Finance: Bordeaux, June 2010

Carmona, René (Editor)/ Del Moral, Pierre (Editor)/ Hu, Peng (Editor)/ Oudjane, Nadia (Editor)

ISBN 10: 3642444075 / ISBN 13: 9783642444074

Editore: Springer Verlag, 2014

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2012 edition. 492 pages. 9.25x6.10x1.11 inches. In Stock.

Codice articolo x-3642444075

Dati bibliografici

• Titolo: Numerical Methods in Finance: Bordeaux, June 2010
• Editore: Springer Verlag
• Data di pubblicazione: 2014
• Lingua: Inglese
• ISBN 10: 3642444075
• ISBN 13: 9783642444074
• Rilegatura: Paperback
• Condizione: Brand New
• Peso: 0,75 chilogrammi

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Riassunto

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.