Tools for computational finance

DOI10.1007/978-3-540-92929-1zbMath1160.91017OpenAlexW4300181573MaRDI QIDQ5901423

Rüdiger U. Seydel

Publication date: 18 February 2009

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-92929-1

zbMATH Keywords

stochastic programmingfinite element methodsMonte Carlo methodspricingrandom numbersfinancial mathematicsfinancial market

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Macroeconomic theory (monetary models, models of taxation) (91B64) Computational methods for problems pertaining to game theory, economics, and finance (91-08) 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) Pseudo-random numbers; Monte Carlo methods (11K45) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

Related Items (22)

Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) ⋮ Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options ⋮ Collocation boundary element method for the pricing of geometric Asian options ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models ⋮ A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option ⋮ An RBF-FD method for pricing American options under jump-diffusion models ⋮ Numerical methods to quantify the model risk of basket default swaps ⋮ AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS ⋮ Multiscale methods for the valuation of American options with stochastic volatility ⋮ Weakly chained diagonally dominant \(B\)-matrices and error bounds for linear complementarity problems ⋮ A general preconditioner for linear complementarity problem with an \(M\)-matrix ⋮ Using spectral element method to solve variational inequalities with applications in finance ⋮ A modulus-based multigrid method for nonlinear complementarity problems with application to free boundary problems with nonlinear source terms ⋮ RBF-PU method for pricing options under the jump-diffusion model with local volatility ⋮ A fixed point method for the linear complementarity problem arising from American option pricing ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A preconditioned two-step modulus-based matrix splitting iteration method for linear complementarity problem ⋮ Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models ⋮ An analytical formula for pricing \(m\)-th to default swaps ⋮ A meshless method for Asian style options pricing under the Merton jump-diffusion model ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

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