Recent developments in computational...
Gerstner, Thomas.

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  • Recent developments in computational finance = foundations, algorithms and applications /
  • 紀錄類型: 書目-電子資源 : Monograph/item
    正題名/作者: Recent developments in computational finance/ editors, Thomas Gerstner, Peter Kloeden.
    其他題名: foundations, algorithms and applications /
    其他作者: Gerstner, Thomas.
    出版者: Singapore :World Scientific, : c2013.,
    面頁冊數: 1 online resource (480 p.).
    內容註: 1. Multilevel Monte Carlo methods for applications in finance / Mike Giles and Lukasz Szpruch -- 2. Convergence of numerical methods for SDEs in finance / Peter Kloeden and Andreas Neuenkirch -- 3. Inverse problems in finance / J. Baumeister -- 4. Asymptotic and non asymptotic approximations for option valuation / R. Bompis and E. Gobet -- 5. Discretization of backward stochastic Volterra integral equations / Christian Bender and Stanislav Pokalyuk -- 6. Semi-Lagrangian schemes for parabolic equations / Kristian Debrabant and Espen Robstad Jakobsen -- 7. Derivative-free weak approximation methods for stochastic differential equations / Kristian Debrabant and Andreas RoBler -- 8. Wavelet solution of degenerate Kolmogoroff forward equations / Oleg Reichmann and Christoph Schwab -- 9. Randomized multilevel quasi-Monte Carlo path simulation / Thomas Gerstner and Marco Noll -- 10. Drift-Free Simulation methods for pricing cross-market derivatives with LMM / J.L. Fernandez ... [et al.] -- 11. Application of simplest random walk algorithms for pricing barrier options / M. Krivko and M.V. Tretyakov -- 12. Coupling local currency Libor models to FX Libor models / John Schoenmakers -- 13. Dimension-wise decompositions and their efficient parallelization / Philipp Schroder, Peter Mlynczak and Gabriel Wittum.
    標題: Finance - Mathematical models. -
    電子資源: http://www.worldscientific.com/worldscibooks/10.1142/8636#t=toc
    ISBN: 9789814436434 (electronic bk.)
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W9251553 電子資源 11.線上閱覽_V 電子書 EB HG106 .R43 2013 一般使用(Normal) 在架 0
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