Tools for computational finance
financial marketfinancial mathematicsfinite element methodsMonte Carlo methodspricingrandom numbersstochastic programming
Pseudo-random numbers; Monte Carlo methods (11K45) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Monte Carlo methods (65C05) 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) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Macroeconomic theory (monetary models, models of taxation) (91B64) Numerical methods (including Monte Carlo methods) (91G60)
The referred volume is the fourth edition of a known surwey of mathematical methods and models of optimal behavior in the financial engineering problems. It is divided in six main chapters. After the first one, summarizing the mathematical tools, the following chapters deal with the mathematics of randomness, Monte Carlo methods, standard optimization methods, finite element methods, and with the pricing of exotic optimization procedures. The formal structure of particular chapters is typical for advanced textbooks, and each chapter is concluded with explanatory comments and exercises. The presented methods are mathematical, nevertheless, the mathematically most advanced concepts and methods are treated separately in four appendices. The volume is concluded by a representative list of references, index and list of notations which simplify the study of the presented text.
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab^ 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
- RBF-PU method for pricing options under the jump-diffusion model with local volatility
- Programming languages and systems in computational economics and finance.
- Design of high performance financial modelling environment
- 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
- Semi-implicit FEM for the valuation of American options under the Heston model
- An RBF-FD method for pricing American options under jump-diffusion models
- A modulus-based multigrid method for nonlinear complementarity problems with application to free boundary problems with nonlinear source terms
- Numerical methods to quantify the model risk of basket default swaps
- An analytical formula for pricing \(m\)-th to default swaps
- Financial engineering and computation. Principles, mathematics, algorithms
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Reduced basis methods for pricing options with the Black-Scholes and Heston models
- scientific article; zbMATH DE number 1206118 (Why is no real title available?)
- scientific article; zbMATH DE number 1069514 (Why is no real title available?)
- scientific article; zbMATH DE number 1777932 (Why is no real title available?)
- The STRIKE computational finance toolbox
- An implied volatility model determined by credit default swaps
- Multiscale methods for the valuation of American options with stochastic volatility
- Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models
- 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 fixed point method for the linear complementarity problem arising from American option pricing
- Tools for computational finance
- Tools for computational finance
- Tools for computational finance.
- Computational Finance with R
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option
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