Topics in Numerical Methods for Finance

• Corporate Author: SpringerLink (Online service)
• Other Authors: Cummins, Mark (Editor), Murphy, Finbarr (Editor), Miller, John J.H (Editor)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US : Imprint: Springer, 2012.
• Series: Springer Proceedings in Mathematics & Statistics, 19
• Subjects: Mathematics.; Finance.; Economics, Mathematical.; Computer mathematics.; Quantitative Finance.; Finance, general.; Computational Mathematics and Numerical Analysis.

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then develo...