scientific article

zbMath1260.91258MaRDI QIDQ3102233

Ali Hirsa

Publication date: 2 December 2011

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlooption pricingcharacteristic functionsfinite differencesfilteringmodel calibrationPDEscomputational financePIDEs

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Financial and insurance mathematics (aspects of mathematics education) (97M30)

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