Large-Scale Scientific Computing

DOI10.1007/11666806MaRDI QIDQ5898232zbMATH OpenOpenAlexFDO

Authors Yusaku Yamamoto

Publication date 21 November 2006

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/11666806

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• On modelling and pricing weather derivatives
• Weather derivatives pricing using regime switching model
• Pricing weather derivatives by marginal value
• Pricing weather derivatives with partial differential equations of the Ornstein-Uhlenbeck process
• Performance evaluation of a multithreaded fast Fourier transform algorithm for derivative pricing

This page was built for publication: Large-Scale Scientific Computing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5898232)