scientific article
zbMath1127.91002MaRDI QIDQ3594586
Publication date: 9 August 2007
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
numerical integrationhedgingstochastic volatilityoption pricingMonte Carlo simulationstochastic calculusderivativesBlack-Scholes modelfinite-difference methodsreal optionsriskcredit riskenergy derivativesvolatilityutility theoryrisk managementdefault riskuncertain parametersexotic optionsbinomial modeldividend paymentjump diffusionvolatility surfacequantitative financestorage costsMerton modelinterest rate modelingnon-probabilistic interest rate model
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Mathematics for nonmathematicians (engineering, social sciences, etc.) (00A06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)
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