Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences
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Published By WORLD SCIENTIFIC

9789814436427, 9789814436434

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Randomized multilevel quasi-Monte Carlo path simulation

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0009 ◽

2012 ◽

pp. 349-369

Author(s):

Thomas Gerstner ◽

Marco Noll

Keyword(s):

Monte Carlo ◽

Quasi Monte Carlo

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Convergence of numerical methods for stochastic differential equations in mathematical finance

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0002 ◽

2012 ◽

pp. 49-80 ◽

Cited By ~ 7

Author(s):

Peter Kloeden ◽

Andreas Neuenkirch

Keyword(s):

Numerical Methods ◽

Differential Equations ◽

Stochastic Differential Equations ◽

Mathematical Finance

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FRONT MATTER

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_fmatter ◽

2012 ◽

pp. i-viii

Author(s):

Thomas Gerstner ◽

Peter Kloeden

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Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0010 ◽

2012 ◽

pp. 373-405 ◽

Cited By ~ 1

Author(s):

J. L. Fernández ◽

M. R. Nogueiras ◽

M. Pou ◽

C. Vázquez

Keyword(s):

Market Model ◽

Simulation Methods ◽

Libor Market Model

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Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0008 ◽

2012 ◽

pp. 317-347

Author(s):

Oleg Reichmann ◽

Christoph Schwab

Keyword(s):

Forward Equations

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Application of simplest random walk algorithms for pricing barrier options

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0011 ◽

2012 ◽

pp. 407-428

Author(s):

M. Krivko ◽

M. V. Tretyakov

Keyword(s):

Random Walk ◽

Barrier Options

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Multilevel Monte Carlo methods for applications in finance

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0001 ◽

2012 ◽

pp. 3-47 ◽

Cited By ~ 2

Author(s):

Mike Giles ◽

Lukasz Szpruch

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

Multilevel Monte Carlo

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Dimension-wise decompositions and their efficient parallelization

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0013 ◽

2012 ◽

pp. 445-472 ◽

Cited By ~ 2

Author(s):

Philipp Schröder ◽

Peter Mlynczak ◽

Gabriel Wittum

Keyword(s):

Efficient Parallelization

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Coupling local currency Libor models to FX Libor models

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0012 ◽

2012 ◽

pp. 429-444

Author(s):

John Schoenmakers

Keyword(s):

Local Currency

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Discretization of backward stochastic Volterra integral equations

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences ◽

10.1142/9789814436434_0005 ◽

2012 ◽

pp. 245-278 ◽

Cited By ~ 2

Author(s):

Christian Bender ◽

Stanislav Pokalyuk

Keyword(s):

Integral Equations ◽

Volterra Integral Equations

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Recent Developments in Computational Finance - Interdisciplinary Mathematical SciencesLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By WORLD SCIENTIFIC

Randomized multilevel quasi-Monte Carlo path simulation

Convergence of numerical methods for stochastic differential equations in mathematical finance

FRONT MATTER

Drift-Free Simulation methods for pricing cross-market derivatives with LIBOR Market Model

Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance

Application of simplest random walk algorithms for pricing barrier options

Multilevel Monte Carlo methods for applications in finance

Dimension-wise decompositions and their efficient parallelization

Coupling local currency Libor models to FX Libor models

Discretization of backward stochastic Volterra integral equations

Recent Developments in Computational Finance - Interdisciplinary Mathematical Sciences
Latest Publications