Numerical methods in finance Bordeaux, June 2010 / René A. Carmona ... [et al.], editors.
| Author/creator | Workshop on Numerical Methods in Finance |
| Other author | Carmona, R. (René) |
| Other author | Institut national de recherche en informatique et en automatique (France) |
| Format | Electronic |
| Publication Info | Heidelberg ; New York : Springer, |
| Description | xvii, 471 p. : ill. ; 24 cm. |
| Supplemental Content | Full text available from Springer Nature - Springer Mathematics and Statistics eBooks 2012 English International |
| Supplemental Content | Full text available from Springer Books |
| Subjects |
| Series | Springer proceedings in mathematics, 2190-5614 ; 12 Springer proceedings in mathematics ; v. 12. UNAUTHORIZED |
| Contents | Part 1. Particle Methods in Finance / An Introduction to Particle Methods with Financial Applications / René Carmona, Pierre Del Moral, Peng Hu and Nadia Oudjane -- American Option Valuation with Particle Filters / Bhojnarine R. Rambharat -- Monte Carlo Methods for Adaptive Disorder Problems / Michael Ludkovski -- Part 2. Numerical methods for backward conditional expectations / Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity / Pierre Del Moral, Bruno Rémillard and Sylvain Rubenthaler -- Optimal Hedging of American Options in Discrete Time / Bruno Rémillard, Alexandre Hocquard, Hugues Langlois and Nicolas Papageorgiou -- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options / Gilles Pagès and Benedikt Wilbertz -- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods / Bruno Bouchard and Xavier Warin -- Least-Squares Monte Carlo for Backward SDEs / Christian Bender and Jessica Steiner -- Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation / Lisa J. Powers, Johanna Nešlehová and David A. Stephens -- Fourier Cosine Expansions and Put-Call Relations for Bermudan Options / Bowen Zhang and Cornelis W. Oosterlee -- Part 3. Numerical Methods for Energy Derivatives / A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets / Klaus Wiebauer -- Swing Options Valuation: A BSDE with Constrained Jumps Approach / Marie Bernhart, Huyên Pham, Peter Tankov and Xavier Warin -- Swing Option Pricing by Optimal Exercise Boundary Estimation / François Turboult and Yassine Youlal -- Gas Storage Hedging / Xavier Warin -- Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques / J. Frédéric Bonnans, Zhihao Cen and Thibault Christel. |
| General note | "Works presented by the participants of the Workshop on Numerical Methods in Finance, organized at the INRIA Bordeaux-Sud Ouest Center and at the Mathematical Institute in Bordeaux, in June 2010."--P. vi. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2012934046 |
| ISBN | 9783642257452 |
| ISBN | 3642257453 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | ✔ Available |