Stochastic analysis for finance with simulations
DOI10.1007/978-3-319-25589-7zbMATH Open1409.91002OpenAlexW2485144656MaRDI QIDQ276302FDOQ276302
Authors: Geon Ho Choe 
Publication date: 3 May 2016
Published in: Universitext (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-25589-7
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for problems pertaining to game theory, economics, and finance (91-08)
Cited In (12)
- An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
- Title not available (Why is that?)
- An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
- Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process
- Portfolio theory, risk management and the evaluation of derivatives
- Title not available (Why is that?)
- Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations
- Title not available (Why is that?)
- The analytical finance package
- Numerical solution of Itô-Volterra integral equation by least squares method
- Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
- An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
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