Deterministic and stochastic topics in computational finance

DOI10.1142/10341MaRDI QIDQ3181076zbMATH OpenOpenAlexFDO

Authors Ovidiu Calin

Publication date 22 December 2016

Full work available at URL https://doi.org/10.1142/10341

zbMATH Keywords

closed-form solutionsinterest rate modellingmodel calibrationoption pricingPDE-based approachrisk-neutral valuationstochastic volatility

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Stochastic models in economics (91B70) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91Gxx)

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Cited in

(2)

• Discrete Algorithms for Multivariate Financial Calculus
• Mathematical modeling and computation in finance. With exercises and Python and MATLAB computer codes

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