Recent developments in computational finance : foundations, algorithms and applications / editors, Thomas Gerstner, Peter Kloeden.

Format:

Book

Contributor:

Kloeden, Peter E.

Gerstner, Thomas.

Series:

Interdisciplinary mathematical sciences ; v. 14.

Interdisciplinary mathematical sciences ; 14

Language:

English

Subjects (All):

Financial engineering.

Finance.

Physical Description:

1 online resource (481 p.)

Edition:

1st ed.

Place of Publication:

Singapore : World Scientific, 2013.

Language Note:

English

Summary:

Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

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 ... [et al.]

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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references.

ISBN:

9781283971522

1283971526

9789814436434

9814436437

OCLC:

825093244