Stochastic analysis for finance with simulations

DOI10.1007/978-3-319-25589-7MaRDI QIDQ276302zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financial mathematicscomputational methodsstochastic analysis

Mathematics Subject Classification ID

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)

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Cited in

(12)

• scientific article; zbMATH DE number 1465730 (Why is no real title available?)
• An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
• An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
• Portfolio theory, risk management and the evaluation of derivatives
• 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
• scientific article; zbMATH DE number 6531373 (Why is no real title available?)
• scientific article; zbMATH DE number 5865552 (Why is no real title available?)
• Quintic B-spline collocation method to solve \(n\)-dimensional stochastic Itô-Volterra integral equations
• Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process

Describes a project that uses

Uses Software

• Matlab

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