Stochastic analysis for finance with simulations

DOI10.1007/978-3-319-25589-7MaRDI QIDQ276302zbMATH OpenOpenAlexFDO

Authors Geon Ho Choe

Publication date 3 May 2016

Published in Universitext (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-25589-7

zbMATH Keywords

computational methodsfinancial mathematicsstochastic analysis

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Monte Carlo methods (65C05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(14)

• An iterative shifted Chebyshev method for nonlinear stochastic Itô-Volterra integral equations
• Numerical solution of Itô-Volterra integral equation by least squares method
• Quintic B-spline collocation method to solve n-dimensional stochastic Itô-Volterra integral equations
• Convergence analysis of an iterative numerical algorithm for solving nonlinear stochastic Itô-Volterra integral equations with \(m\)-dimensional Brownian motion
• Portfolio theory, risk management and the evaluation of derivatives
• An iterative algorithm for solving two dimensional nonlinear stochastic integral equations: a combined successive approximations method with bilinear spline interpolation
• scientific article; zbMATH DE number 5865552 (Why is no real title available?)
• scientific article; zbMATH DE number 6531373 (Why is no real title available?)
• The analytical finance package
• scientific article; zbMATH DE number 1465730 (Why is no real title available?)
• Numerical solution of multi-dimensional Itô Volterra integral equations by the second kind Chebyshev wavelets and parallel computing process
• An iterative technique for the numerical solution of nonlinear stochastic Itô-Volterra integral equations
• New results of it Itô's formula using q-calculus
• A multi-stage hybrid technique for 2D stochastic nonlinear Itô-Volterra integral equations

Describes a project that uses

Uses Software

• Matlab

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