Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
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Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Numerical methods (including Monte Carlo methods) (91G60)
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(only showing first 100 items - show all)- Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
- A computational scheme for uncertain volatility model in option pricing
- A more accurate finite difference approach to the pricing of contingent claims
- RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility
- A hybrid finite difference method for pricing two-asset double barrier options
- An efficient method for solving spread option pricing problem: numerical analysis and computing
- An interior penalty method for a finite-dimensional linear complementarity problem in financial engineering
- Modified B-spline collocation approach for pricing American style Asian options
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Evaluation of the stiffness matrix in static and dynamic elasticity problems
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- The pricing of Asian options in uncertain volatility model
- Solving American option pricing models by the front fixing method: numerical analysis and computing
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- A note on some numerical approaches to solve a \(\dot{\theta}\) neuron networks model
- PDE formulation of some SABR/LIBOR market models and its numerical solution with a sparse grid combination technique
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation
- Pricing American-style Parisian down-and-out call options
- Numerical convergence of a one step approximation of an integro-differential equation
- Derivative securities and difference methods.
- Radial basis functions with application to finance: American put option under jump diffusion
- Computational methods for quantitative finance. Finite element methods for derivative pricing
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- Greeks computation in the option pricing problem by means of RBF-PU methods
- Derivative pricing as a transport problem: MPDATA solutions to Black-Scholes-type equations
- An efficient computational algorithm for pricing European, barrier and American options
- Recovering default risk from CDS spreads with a nonlinear filter
- An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation
- CDS pricing with fractional Hawkes processes
- Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation
- RBF methods in a stochastic volatility framework for Greeks computation
- Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
- Error estimates for backward Euler finite element approximations of American call option valuation
- Inverse multi-quadric RBF for computing the weights of FD method: application to American options
- Integral equation characterization of the Feynman-Kac formula for a regime-switching diffusion
- Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach
- Convergence of the mimetic finite difference and fitted mimetic finite difference method for options pricing
- A CUDA-based implementation of an improved SPH method on GPU
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- Numerical approximation of an elastic wave model
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
- Control variates and conditional Monte Carlo for basket and Asian options
- An unconditionally stable hybrid method for image segmentation
- A stochastic delay model for pricing debt and equity: numerical techniques and applications
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- Option pricing under the jump diffusion and multifactor stochastic processes
- Novel numerical techniques based on mimetic finite difference method for pricing two dimensional options
- Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
- From Navier-Stokes to Black-Scholes: numerical methods in computational finance
- A high order finite volume method for one dimensional nonlocal reactive flows of parabolic type
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- Positive finite difference schemes for a partial integro-differential option pricing model
- Lapse rate modeling: a rational expectation approach
- Fast computation of the matrix exponential for a Toeplitz matrix
- A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model
- Fast and efficient numerical methods for an extended Black-Scholes model
- Pricing futures by deterministic methods
- A practical finite difference method for the three-dimensional Black-Scholes equation
- A superconvergent fitted finite volume method for Black-Scholes equations governing European and American option valuation
- Preconditioned iterative methods for fractional diffusion models in finance
- The evaluation of barrier option prices under stochastic volatility
- A numerical method for a class of non-linear integro-differential equations on the half line
- Pricing exotic options and American options: a multidimensional asymptotic expansion approach
- Partial Differential Equations for Option Pricing
- Boundary values and finite difference methods for the single factor term structure equation
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models
- Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
- Pricing American-style Parisian up-and-out call options
- Primal-Dual Active Set Method for American Lookback Put Option Pricing
- The calibration of volatility for option pricing models with jump diffusion processes
- A regime-switching model with the volatility smile for two-asset European options
- Numerical analysis of novel finite difference methods
- PDE methods for SABR
- Sparse grid combination technique for Hagan SABR/LIBOR market model
- The COS method for option valuation under the SABR dynamics
- A family of positive nonstandard numerical methods with application to Black-Scholes equation
- scientific article; zbMATH DE number 1447420 (Why is no real title available?)
- Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
- A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme
- Least-square-based control variate method for pricing options under general factor models
- Using spectral element method to solve variational inequalities with applications in finance
- The numerical solution of semidiscrete linear evolution problems on the finite interval using the unified transform method
- Low-rank tensor approximation for Chebyshev interpolation in parametric option pricing
- Selected applications of differential equations in vanilla options valuation.
- Alternating Direction Implicit Finite Element Method for Multi-Dimensional Black-Scholes Models
- The time-discrete method of lines for options and bonds. A PDE approach
- Numerical stability of a hybrid method for pricing options
- Computing American option price under regime switching with rationality parameter
- An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
- Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Term structure models and the zero bound: an empirical investigation of Japanese yields
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