國立高雄大學圖資館 |

Language: English

Back

Recent developments in computational...

Gerstner, Thomas.

Recent developments in computational financefoundations, algorithms and applications /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Recent developments in computational financeeditors, Thomas Gerstner, Peter Kloeden.
Reminder of title:	foundations, algorithms and applications /
other author:	Gerstner, Thomas.
Published:	Singapore :World Scientific,c2013.
Description:	1 online resource (480 p.).
Subject:	FinanceMathematical models.
Online resource:	http://www.worldscientific.com/worldscibooks/10.1142/8636#t=toc
ISBN:	9789814436434 (electronic bk.)

Recent developments in computational financefoundations, 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:

183782
Finance
--Mathematical models.

LC Class. No.: HG106 / .R43 2013

Dewey Class. No.: 332.015195

Recent developments in computational financefoundations, algorithms and applications /
LDR:03011cmm a2200289Ia 4500 001 442942
003 OCoLC
005 20141031102116.0
006 m o d
007 cr mn|||||||||
008 150128s2013 si o 000 0 eng d
020 $a 9789814436434 (electronic bk.)
020 $a 9814436437 (electronic bk.)
020 $a 9789814436-441 (electronic bk.)
020 $z 9789814436427 (print)
020 $z 9814436429 (print)
035 $a (OCoLC)825093244
035 $a ocn825093244
040 $a HKP $b eng $c HKP $d CDX $d N $d YDXCP $d STF $d IDEBK $d E7B $d OCLCF
050 4 $a HG106 $b .R43 2013
082 0 4 $a 332.015195 $2 23
245 0 0 $a Recent developments in computational finance $h [electronic resource] : $b foundations, algorithms and applications / $c editors, Thomas Gerstner, Peter Kloeden.
260 $a Singapore : $b World Scientific, $c c2013.
300 $a 1 online resource (480 p.).
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 183782
700 1 $a Gerstner, Thomas. $3 697641
700 1 $a Kloeden, Peter. $3 697642
830 0 $a Interdisciplinary mathematical sciences ; $v v. 9. $3 575246
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/8636#t=toc