Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics
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9781461434320, 9781461434337

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Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_2 ◽

2012 ◽

pp. 15-22

Author(s):

Pascal Heider

Keyword(s):

Least Squares ◽

Moving Least Squares

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On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_1 ◽

2012 ◽

pp. 1-13

Author(s):

Nicola Bruti-Liberati ◽

Eckhard Platen

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Predictor Corrector

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FIX: The Fear Index—Measuring Market Fear

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_4 ◽

2012 ◽

pp. 37-55 ◽

Cited By ~ 13

Author(s):

J. Dhaene ◽

J. Dony ◽

M. B. Forys ◽

D. Linders ◽

W. Schoutens

Keyword(s):

Fear Index

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Fast Fourier Transform Option Pricing: Efficient Approximation Methods Under Multi-Factor Stochastic Volatility and Jumps

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_7 ◽

2012 ◽

pp. 115-137 ◽

Cited By ~ 1

Author(s):

J. P. F. Charpin ◽

M. Cummins

Keyword(s):

Fourier Transform ◽

Option Pricing ◽

Fast Fourier Transform ◽

Stochastic Volatility ◽

Approximation Methods ◽

Efficient Approximation

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The Evaluation of Gas Swing Contracts with Regime Switching

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_9 ◽

2012 ◽

pp. 155-176 ◽

Cited By ~ 2

Author(s):

Carl Chiarella ◽

Les Clewlow ◽

Boda Kang

Keyword(s):

Regime Switching

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American Option Pricing Using Simulation and Regression: Numerical Convergence Results

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_5 ◽

2012 ◽

pp. 57-94 ◽

Cited By ~ 2

Author(s):

Lars Stentoft

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing ◽

Numerical Convergence ◽

Convergence Results ◽

Simulation And Regression

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The COS Method for Pricing Options Under Uncertain Volatility

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_6 ◽

2012 ◽

pp. 95-113 ◽

Cited By ~ 2

Author(s):

M. J. Ruijter ◽

C. W. Oosterlee

Keyword(s):

Pricing Options ◽

Uncertain Volatility

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Solving Impulse-Control Problems with Control Delays

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_3 ◽

2012 ◽

pp. 23-36

Author(s):

Kumar Muthuraman ◽

Qi Wu

Keyword(s):

Impulse Control ◽

Control Problems ◽

Control Delays

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A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_10 ◽

2012 ◽

pp. 177-200 ◽

Cited By ~ 2

Author(s):

Kitty Moloney ◽

Srinivas Raghavendra

Keyword(s):

Bond Markets ◽

Linear And Nonlinear

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Pricing Credit Derivatives in a Wiener–Hopf Framework

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-1-4614-3433-7_8 ◽

2012 ◽

pp. 139-154 ◽

Cited By ~ 5

Author(s):

Daniele Marazzina ◽

Gianluca Fusai ◽

Guido Germano

Keyword(s):

Credit Derivatives

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Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & StatisticsLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer US

Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces

On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance

FIX: The Fear Index—Measuring Market Fear

Fast Fourier Transform Option Pricing: Efficient Approximation Methods Under Multi-Factor Stochastic Volatility and Jumps

The Evaluation of Gas Swing Contracts with Regime Switching

American Option Pricing Using Simulation and Regression: Numerical Convergence Results

The COS Method for Pricing Options Under Uncertain Volatility

Solving Impulse-Control Problems with Control Delays

A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets

Pricing Credit Derivatives in a Wiener–Hopf Framework

Topics in Numerical Methods for Finance - Springer Proceedings in Mathematics & Statistics
Latest Publications