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Numerical Methods in Finance: Bordeaux, June 2010

Numerical Methods in Finance: Bordeaux, June 2010

          
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About the Book

Part I: Particle Methods in Finance.- 1 R. Carmona, P. Del Moral, P. Hu, N, Oudjane: An Introduction to Particle Methods with Financial Applications.- 2.Bhojnarine R. Rambharat: American option valuation with particle filters.- 3.Michael Ludkovski: Monte Carlo Methods for Adaptive Disorder Problems.- Part II: Numerical methods for backward conditional expectations.- 4.Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthale: Monte Carlo approximations of American options that preserve monotonicity and convexity.- 5.Bruno Rémillard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou: Optimal Hedging of American Options in Discrete Time.- 6.Gilles Pagès and Benedikt Wilbertz: Optimal Delaunay and Voronoi quantization schemes for pricing American style options.- 7.Bruno Bouchard, Xavier Warin: Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods.- 8.Christian Bender and Jessica Steiner: Least-squares Monte Carlo for backward SDEs.- 9.Lisa J. Powers, Johanna Neslehová, and David A. Stephens: Pricing American Options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation.- 10.Bowen Zhang and Cornelis W. Oosterlee: Fourier Cosine Expansions and Put-Call Relations for Bermudan Options.- Part III: Numerical methods for energy derivatives.- 11.Klaus Wiebauer: A practical view on valuation of multi-exercise American style options in gas and electricity markets.- 12. Marie Bernhart, Huyen Pham, Peter Tankov and Xavier Warin: Swing Options Valuation: a BSDE with Constrained Jumps Approach.- 13.François Turboult and Yassine Youlal: Swing option pricing by optimal exercise boundary estimation.- 14.Xavier Warin: Gas Storage Hedging.- 15.J.Frédéric Bonnans, Zhihao Cen, Thibault Christel: Sensitivity analysis of energy contracts by stochastic programming techniques.


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Product Details
  • ISBN-13: 9783642257452
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Depth: 32
  • Height: 234 mm
  • No of Pages: 474
  • Series Title: Springer Proceedings in Mathematics
  • Sub Title: Bordeaux, June 2010
  • Width: 155 mm
  • ISBN-10: 3642257453
  • Publisher Date: 28 May 2012
  • Binding: Hardback
  • Edition: 2012
  • Language: English
  • Returnable: Y
  • Spine Width: 30 mm
  • Weight: 861 gr


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