000 04354nam a22005055i 4500
001 978-1-4614-3433-7
003 DE-He213
005 20140220083247.0
007 cr nn 008mamaa
008 120713s2012 xxu| s |||| 0|eng d
020 _a9781461434337
_9978-1-4614-3433-7
024 7 _a10.1007/978-1-4614-3433-7
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aCummins, Mark.
_eeditor.
245 1 0 _aTopics in Numerical Methods for Finance
_h[electronic resource] /
_cedited by Mark Cummins, Finbarr Murphy, John J.H. Miller.
264 1 _aBoston, MA :
_bSpringer US :
_bImprint: Springer,
_c2012.
300 _aXI, 204 p. 47 illus., 40 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v19
505 0 _aOn 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.
520 _aPresenting 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 developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aComputer science
_xMathematics.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aFinance/Investment/Banking.
650 2 4 _aComputational Mathematics and Numerical Analysis.
700 1 _aMurphy, Finbarr.
_eeditor.
700 1 _aMiller, John J.H.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781461434320
830 0 _aSpringer Proceedings in Mathematics & Statistics,
_x2194-1009 ;
_v19
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4614-3433-7
912 _aZDB-2-SMA
999 _c101369
_d101369