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Opis

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

Szczegóły książki

Kategoria Książki po angielsku Mathematics & science Mathematics Optimization

• Pełny tytuł: Numerical Methods in Finance
• Podtytuł: Bordeaux, June 2010
• Autor: René A. Carmona, Pierre Del Moral, Peng Hu
• Język: Angielski
• Oprawa: Twarda
• Liczba stron: 490
• EAN: 9783642257452
• ISBN: 3642257453
• ID: 01659390
• Wydawca: Springer, Berlin
• Waga: 862 g
• Wymiary: 235 × 155 × 30 mm
• Data wydania: 18. April 2012

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