Screen LibraryNumerical methods in finance
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| Group Author: | ; ; |
|---|---|
| Published: |
Cambridge University Press,
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| Publisher Address: | Cambridge |
| Publication Dates: | 1997. |
| Literature type: | Book |
| Language: | English |
| Series: |
Publications of the Newton Institute |
| Subjects: | |
| Carrier Form: | x, 326 p.: ill. ; 24 cm. |
| ISBN: | 0521573548 (hardback) |
| Index Number: | F830 |
| CLC: |
F830 F224.0 |
| Call Number: | F830/N971/ |
| Contents: |
Includes bibliographical references. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory / G. Barles -- Continuous-time Monte Carlo methods and variance reduction / Nigel J. Newton -- Recent advances in numerical methods for pricing derivative securites / M. Broadie & J. Detemple -- American options : a comparison of numerical methods / F. AitSahlia & P. Carr -- Fast, accurate and inelegant valuation of American options / Adriaan Joubert & L.C.G. Rogers -- Valuation of American option in a jump-diffusion models / Xiao Lan Zhang -- Some nonlinear methods for studying far-from-the-money contingent claims / E. Fournié, J.M. Lasry & P.L. Lions -- Monte Carlo methods for stochastic volatility models / E. Fournié, J.M. Lasry & N. Touzi -- Dynamic optimization for a mixed portfolio with transaction costs / Agnès Sulem -- Imperfect markets and backward stochastic differential equations / N. El Karoui & M.C. Quenez -- Reflected backward SDEs and American options / N. El Karoui, E. Pardoux & M.C. Quenez -- Numerical methods for backward stochastic differential equations / D. Chevance -- Viscosity solutions and numerical schemes for investment/consumption models with transaction costs / Agnès Tourin & Thaleia Zariphopoulou -- Does volatility jump or just diffuse? A statistical approach / Renzo G. Avesani & Pierre Bertrand -- Martingale-based hedge error control / Peter Bossaerts & Bas Werker -- The use of second-order stochastic dominance to bound European call prices : theory and results / Claude Henin & Nathalie Pistre. |