Gebundenes Buch

Numerical Methods in Finance

Bordeaux, June 2010

Herausgegeben: Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia
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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 treatme...