Topics in Numerical Methods for Finance

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Cummins, Mark (Επιμελητής έκδοσης), Murphy, Finbarr (Επιμελητής έκδοσης), Miller, John J.H (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Boston, MA : Springer US : Imprint: Springer, 2012.
• Σειρά: Springer Proceedings in Mathematics & Statistics, 19
• Θέματα: 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...

Πίνακας περιεχομένων:

• On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance
• Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces
• Solving Impulse Control Problems with Control Delays
• FIX: The Fear Index ? Measuring Market Fear
• American Option Pricing using Simulation and Regression: Numerical Convergence Results
• The COS Method for Pricing Options under Uncertain Volatility
• Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps
• Pricing Credit Derivatives in a Wiener-Hopf Framework
• The Evaluation of Gas Swing Contracts with Regime Switching
• A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets.