000 04858nam a22005295i 4500
001 978-3-642-25746-9
003 DE-He213
005 20140220083306.0
007 cr nn 008mamaa
008 120322s2012 gw | s |||| 0|eng d
020 _a9783642257469
_9978-3-642-25746-9
024 7 _a10.1007/978-3-642-25746-9
_2doi
050 4 _aHB144
050 4 _aQA269-272
072 7 _aPBUD
_2bicssc
072 7 _aMAT011000
_2bisacsh
072 7 _aBUS069030
_2bisacsh
082 0 4 _a519
_223
100 1 _aCarmona, René A.
_eeditor.
245 1 0 _aNumerical Methods in Finance
_h[electronic resource] :
_bBordeaux, June 2010 /
_cedited by René A. Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2012.
300 _aXVII, 471p. 88 illus., 58 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,
_x2190-5614 ;
_v12
505 0 _aPart 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 _aNumerical 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 _aMathematics.
650 0 _aFinance.
650 0 _aDistribution (Probability theory).
650 1 4 _aMathematics.
650 2 4 _aGame Theory, Economics, Social and Behav. Sciences.
650 2 4 _aProbability Theory and Stochastic Processes.
650 2 4 _aQuantitative Finance.
700 1 _aDel Moral, Pierre.
_eeditor.
700 1 _aHu, Peng.
_eeditor.
700 1 _aOudjane, Nadia.
_eeditor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783642257452
830 0 _aSpringer Proceedings in Mathematics,
_x2190-5614 ;
_v12
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-642-25746-9
912 _aZDB-2-SMA
999 _c102478
_d102478