scientific article; zbMATH DE number 1546640

MaRDI QIDQ4522338zbMATH OpenFDO

Authors P.-L. Lions

Publication date 19 December 2000

Full work available at URL https://eudml.org/doc/194944

zbMATH Keywords

modelling and numerical issuessurvey

Mathematics Subject Classification ID

Review text

This paper gives a survey of some issues in mathematical finance, concentrating mostly on practical problems (modelling and numerical issues) and ignoring more theoretical issues. It describes the classical theory of option pricing (Black-Scholes) and some more recent models together with some of the issues concerning them as for example numerical computation for hedges. Finally, a general approach to the issue of option pricing and hedging with partial observation of information is described. Between, a short presentation of some work allowing efficient Monte-Carlo computation for hedges is given.

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Cited in

(6)

• On mathematical finance
• Review Paper. A survey of mathematical finance
• scientific article; zbMATH DE number 1163406 (Why is no real title available?)
• Applied mathematics and finance
• Financial mathematics in discrete time
• The mathematics of Ponzi schemes

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