Tools for computational finance.

DOI10.1007/3-540-27926-1zbMath1140.91053OpenAlexW4301242252MaRDI QIDQ5919869

Rüdiger U. Seydel

Publication date: 22 May 2006

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-27926-1

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

Related Items (17)

An efficient method for solving spread option pricing problem: numerical analysis and computing ⋮ High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance ⋮ Debt redemption fund and fiscal incentives ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ Richardson extrapolation technique for generalized Black-Scholes PDEs for European options ⋮ On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation ⋮ Spline approximation method to solve an option pricing problem ⋮ Semismooth Newton methods with domain decomposition for American options ⋮ Convergence and asymptotical stability of numerical solutions for neutral stochastic delay differential equations driven by \(G\)-Brownian motion ⋮ A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables ⋮ Numerical methods for Lévy processes ⋮ Pricing of Path-Dependent European-Type Options Using Monte Carlo Simulation ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ An efficient implementation of a least squares Monte Carlo method for valuing American-style options ⋮ A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data ⋮ A non-parametric structural hybrid modeling approach for electricity prices ⋮ American Options in an Illiquid Market: Nonlinear Complementary Method

This page was built for publication: Tools for computational finance.