Numerical Methods in Finance: Bordeaux, June 2010

Book Overview

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 R?millard, Sylvain Rubenthale: Monte Carlo approximations of American options that preserve monotonicity and convexity.- 5.Bruno R?millard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou: Optimal Hedging of American Options in Discrete Time.- 6.Gilles Pag?s 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 Neslehov?, and David A. Stephens: Pricing American Options in an infinite activity L?vy 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.Fran?ois Turboult and Yassine Youlal: Swing option pricing by optimal exercise boundary estimation.- 14.Xavier Warin: Gas Storage Hedging.- 15.J.Fr?d?ric Bonnans, Zhihao Cen, Thibault Christel: Sensitivity analysis of energy contracts by stochastic programming techniques.

• Format: Paperback
• Language: English
• ISBN: 3642444075
• ISBN13: 9783642444074
• Release Date: April 2014
• Publisher: Springer
• Length: 474 Pages
• Weight: 1.50 lbs.
• Dimensions: 1.1" x 6.1" x 9.0"