Mathematical models of financial derivatives

DOI10.1007/978-3-540-68688-0zbMATH Open1146.91002OpenAlexW1590646785MaRDI QIDQ925084FDOQ925084

Authors: Yue Kuen Kwok 

Publication date: 29 May 2008

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-68688-0

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zbMATH Keywords

optionsvolatilityfuturesfinancial derivativesextended Black-Scholes model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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• A high-order finite difference method for option valuation
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• Constructing positive reliable numerical solution for American call options: a new front-fixing approach
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• Weather derivatives pricing using regime switching model
• Semismooth Newton methods with domain decomposition for American options
• Mathematical Finance
• Path integral pricing of outside barrier Asian options
• On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation
• A universal difference method for time-space fractional Black-Scholes equation
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• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility
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• Valuing catastrophe bonds involving correlation and CIR interest rate model
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• A new efficient numerical method for solving American option under regime switching model
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• A class of intrinsic parallel difference methods for time-space fractional Black-Scholes equation
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• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
• Pricing spread options with stochastic interest rates
• Computation of the unknown volatility from integral option price observations in jump-diffusion models
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• Numerical techniques for determining implied volatility in option pricing
• DNN expression rate analysis of high-dimensional PDEs: application to option pricing
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• Weak Galerkin finite element method for valuation of American options
• The waterline tree for separable local-volatility models
• An efficient numerical method for the valuation of American better-of options based on the front-fixing transform and the far field truncation
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• Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment
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• Path-dependent game options: a lookback case
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
• An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
• Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
• On a neural network to extract implied information from American options
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• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
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