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Recent developments in computational finance = foundations, algorithms and applications /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Recent developments in computational finance/ editors, Thomas Gerstner, Peter Kloeden.
其他題名:	foundations, algorithms and applications /
其他作者:	Gerstner, Thomas.
出版者:	Singapore :World Scientific, : c2013.,
面頁冊數:	1 online resource (480 p.).
標題:	Finance - Mathematical models. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/8636#t=toc
ISBN:	9789814436434 (electronic bk.)

Recent developments in computational finance = foundations, algorithms and applications /
Recent developments in computational financefoundations, algorithms and applications /[electronic resource] :editors, Thomas Gerstner, Peter Kloeden. - Singapore :World Scientific,c2013. - 1 online resource (480 p.). - Interdisciplinary mathematical sciences :vol. 14.. - Interdisciplinary mathematical sciences ;v. 9..

1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez ... [et al.] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum.

Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

ISBN: 9789814436434 (electronic bk.)Subjects--Topical Terms:

557653
Finance
--Mathematical models.

LC Class. No.: HG106 / .R43 2013

Dewey Class. No.: 332.015195

Recent developments in computational finance = foundations, algorithms and applications /
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490 1 $a Interdisciplinary mathematical sciences : $v vol. 14.
505 0 $a 1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez ... [et al.] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum.
520 $a Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.
650 0 $a Finance $x Mathematical models. $3 557653
700 1 $a Gerstner, Thomas. $3 996767
700 1 $a Kloeden, Peter. $3 996768
830 0 $a Interdisciplinary mathematical sciences ; $v v. 9. $3 856912
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