Recent developments in computational finance [electronic resource] : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden.
by
Gerstner, Thomas.
ISBN
:
9789814436434
Title
:
Recent developments in computational finance [electronic resource] : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden.
Author
:
Gerstner, Thomas.
Publication Information
:
Singapore : World Scientific, ©2013.
Physical Description
:
1 online resource.
Series
:
Interdisciplinary mathematical sciences ; vol. 14
Contents
:
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 [and others] -- 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.
Local Note
:
eBooks on EBSCOhost
Subject Term
:
Finance -- Mathematical models.
Added Author
:
Gerstner, Thomas.
Kloeden, Peter.
Format
:
Electronic Resources
Electronic Access
:
Publication Date
:
2013
Publication Information
:
Singapore : World Scientific, ©2013.
Shelf Number | Material Type | Copy | Shelf Location | Status |
---|
332.015195 23 | 1:E-BOOK | 1 | 1:ONLINE | Available for online access and/or download |