Derivative securities and difference methods.
European optionsinterest rate modelsfree boundary problemspartial differential equationsswapsAmerican optionsBlack-Scholes modelcapsfloorsmulti-asset optionsswaptionsAsian optionsbarrier optionsinterest rate derivativesfutures contractsforward contractslookback optionscollars
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02) Parabolic equations and parabolic systems (35K99) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
- A fast high-order finite difference algorithm for pricing American options
- Connections between the extreme points for Vandermonde determinants and minimizing risk measure in financial mathematics
- A numerical analysis of American options with regime switching
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
- Pricing of margin call stock loan based on the FMLS
- Hat Derivatives
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options
- With or without replacement? Sampling uncertainty in Shepp’s urn scheme
- Convergence of a difference scheme for the heat equation in a long strip by artificial boundary conditions
- Pricing futures by deterministic methods
- An artificial boundary method for the Hull-White model of American interest rate derivatives
- Fast orthogonal transforms and generation of Brownian paths
- Derivative securities and difference methods
- Rational spectral collocation method for pricing American vanilla and butterfly spread options
- On the numerical solution of nonlinear Black-Scholes equations
- Valuing executive stock options: a quadratic approximation
- Semi-implicit integration factor methods on sparse grids for high-dimensional systems
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- An introduction to Black-Scholes modeling and numerical methods in derivatives pricing
- Numerical pricing of options using high-order compact finite difference schemes
- Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing
- On the multidimensional Black-Scholes partial differential equation
- Lattice Boltzmann method for the linear complementarity problem arising from American option pricing
- The Mathematics of Financial Derivatives
- Iterative speedup by utilizing symmetric data in pricing options with two risky assets
- Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model
- A robust finite difference scheme for pricing American put options with singularity-separating method
- High order approximation of derivatives with applications to pricing of financial derivatives
- On coordinate transformation and grid stretching for sparse grid pricing of basket options
- Richardson extrapolation technique for generalized Black-Scholes PDEs for European options
- Positive numerical splitting method for the Hull and White 2D Black-Scholes equation
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
- Limitations and improvements of standard spectral methods for pricing standard options
- Portfolio optimization model with and without options under additional constraints
- Mathematical models of financial derivatives
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