ISBN 9783642257452 | 3642257453 Textbooks - "Numerical Methods in Finance Bordeaux June 2010 Springer Proceedings in Mathematics" by Carmona Nadia Editor Rene A Editor Del Moral Pierre Editor Hu Peng Editor Oudjane

Authors: Carmona - Nadia (Editor) - Rene A. (Editor) / Del Moral - Pierre (Editor) / Hu - Peng (Edi…
ISBN 10: 3642257453
ISBN 13: 9783642257452
Edition: 2012
Release: March 23, 2012
Format: Hardcover (488 pages)
List Price: $149.00
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List Price: $149.00

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Book Description:
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.

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Numerical Methods in Finance: Bordeaux, June 2010 (Springer Proceedings in Mathematics)