Numerical Methods in Finance (Record no. 102478)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04858nam a22005295i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-642-25746-9 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220083306.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120322s2012 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783642257469 |
| -- | 978-3-642-25746-9 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-642-25746-9 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB144 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA269-272 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBUD |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT011000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS069030 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Carmona, René A. |
| Relator term | editor. |
| 245 10 - TITLE STATEMENT | |
| Title | Numerical Methods in Finance |
| Medium | [electronic resource] : |
| Remainder of title | Bordeaux, June 2010 / |
| Statement of responsibility, etc | edited by René A. Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane. |
| 264 #1 - | |
| -- | Berlin, Heidelberg : |
| -- | Springer Berlin Heidelberg, |
| -- | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XVII, 471p. 88 illus., 58 illus. in color. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Springer Proceedings in Mathematics, |
| International Standard Serial Number | 2190-5614 ; |
| Volume number/sequential designation | 12 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Part I: Particle Methods in Finance -- 1 R. Carmona, P. Del Moral, P. Hu, N, Oudjane: An Introduction to Particle Methods with Financial Applications -- 2.Bhojnarine R. Rambharat: American option valuation with particle filters -- 3.Michael Ludkovski: Monte Carlo Methods for Adaptive Disorder Problems -- Part II: Numerical methods for backward conditional expectations -- 4.Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthale: Monte Carlo approximations of American options that preserve monotonicity and convexity -- 5.Bruno Rémillard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou: Optimal Hedging of American Options in Discrete Time -- 6.Gilles Pagès and Benedikt Wilbertz: Optimal Delaunay and Voronoi quantization schemes for pricing American style options -- 7.Bruno Bouchard, Xavier Warin: Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods -- 8.Christian Bender and Jessica Steiner: Least-squares Monte Carlo for backward SDEs -- 9.Lisa J. Powers, Johanna Nešlehová, and David A. Stephens: Pricing American Options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation -- 10.Bowen Zhang and Cornelis W. Oosterlee: Fourier Cosine Expansions and Put–Call Relations for Bermudan Options -- Part III: Numerical methods for energy derivatives -- 11.Klaus Wiebauer: A practical view on valuation of multi-exercise American style options in gas and electricity markets -- 12. Marie Bernhart, Huyen Pham, Peter Tankov and Xavier Warin: Swing Options Valuation: a BSDE with Constrained Jumps Approach -- 13.François Turboult and Yassine Youlal: Swing option pricing by optimal exercise boundary estimation -- 14.Xavier Warin: Gas Storage Hedging -- 15.J.Frédéric Bonnans, Zhihao Cen, Thibault Christel: Sensitivity analysis of energy contracts by stochastic programming techniques. . |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Distribution (Probability theory). |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Game Theory, Economics, Social and Behav. Sciences. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Probability Theory and Stochastic Processes. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Del Moral, Pierre. |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hu, Peng. |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Oudjane, Nadia. |
| Relator term | editor. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783642257452 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer Proceedings in Mathematics, |
| -- | 2190-5614 ; |
| Volume number/sequential designation | 12 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-642-25746-9 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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