Numerical Methods in Finance: Bordeaux, June 2010 (Springer Proceedings in Mathematics Book 12) (English Edition) - nuovo livro

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Número ISBN/EAN: 9783642257469

Número ISBN - Ortografia alternativa:
3-642-25746-1, 978-3-642-25746-9
Ortografia alternativa e termos de pesquisa relacionados:
Autor do livro: peng, oud, mora, pierre tan, carmona, moral
Título do livro: bordeaux, finance

Dados da editora

Autor: René Carmona; Pierre Del Moral; Peng Hu; Nadia Oudjane
Título: Springer Proceedings in Mathematics; Numerical Methods in Finance - Bordeaux, June 2010
Editora: Springer; Springer Berlin
474 Páginas
Ano de publicação: 2012-03-23
Berlin; Heidelberg; DE
Língua: Inglês
139,09 € (DE)
143,00 € (AT)
165,50 CHF (CH)
Available
XVIII, 474 p.

EA; E107; eBook; Nonbooks, PBS / Wirtschaft/Volkswirtschaft; Spieltheorie; Verstehen; Energy securities; Numerical methods; Optimal stopping; quantitative finance; B; Game Theory; Probability Theory; Mathematics in Business, Economics and Finance; Mathematics and Statistics; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; BC

Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the 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 also provides an original treatment of Monte Carlo methods for the 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. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

Sensitivity analysis of energy contractsby stochastic programming techniques.

Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the 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 also provides an original treatment of Monte Carlo methods for the 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. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.