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Numerical Methods in Finance

Name: Numerical Methods in Finance
Brand: Springer, Berlin
SKU: 01659390
Price: 150.19 EUR
Availability: InStock
Author: René A. Carmona
ISBN: 9783642257452

Bordeaux, June 2010

René A. Carmona

Pierre Del Moral

Peng Hu

Language

English

Book Hardback

Libristo code: 01659390

Publishers Springer, Berlin, April 2012

Numerical methods in finance have emerged as a cornerstone at the crossroads of probability theory,... Full description

Libristo code: 01659390

368 b

150.19 € VAT included

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Numerical methods in finance have emerged as a cornerstone at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it provides an original treatment of Monte Carlo methods for recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. Articles have been carefully written in a pedagogical style, in a reasonably self-contained manner. The volume is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.