Mathematical Modelling and Numerical Methods in Finance

Special Volume

Author: N.A

Publisher: Elsevier

ISBN: 0080931006

Category: Mathematics

Page: 684

View: 2303

Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field

Numerical Methods in Finance

Bordeaux, June 2010

Author: René Carmona,Pierre Del Moral,Peng Hu,Nadia Oudjane

Publisher: Springer Science & Business Media

ISBN: 3642257461

Category: Mathematics

Page: 474

View: 9089

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

Computational Methods for Option Pricing

Author: Yves Achdou,Olivier Pironneau

Publisher: SIAM

ISBN: 0898715733

Category: Technology & Engineering

Page: 297

View: 5748

This book allows you to understand fully the modern tools of numerical analysis in finance.

American-Type Options

Stochastic Approximation Methods

Author: Dmitrii S. Silvestrov

Publisher: Walter de Gruyter

ISBN: 3110329824

Category: Mathematics

Page: 519

View: 672

This book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete time Markov price processes. It is the first volume of the comprehensive two volumes monograph.

Numerical Mathematics and Advanced Applications 2011

Proceedings of ENUMATH 2011, the 9th European Conference on Numerical Mathematics and Advanced Applications, Leicester, September 2011

Author: Andrea Cangiani,Ruslan L Davidchack,Emmanuil Georgoulis,Alexander N. Gorban,Jeremy Levesley,Michael V. Tretyakov

Publisher: Springer Science & Business Media

ISBN: 3642331343

Category: Mathematics

Page: 859

View: 3381

The European Conferences on Numerical Mathematics and Advanced Applications (ENUMATH) are a series of conferences held every two years to provide a forum for discussion of new trends in numerical mathematics and challenging scientific and industrial applications at the highest level of international expertise. ENUMATH 2011 was hosted by the University of Leicester (UK) from the 5th to 9th September 2011. This proceedings volume contains more than 90 papers by speakers of the conference and gives an overview of recent developments in scientific computing, numerical analysis, and practical use of modern numerical techniques and algorithms in various applications. New results on finite element methods, multiscale methods, numerical linear algebra, and finite difference schemes are presented. A range of applications include computational problems from fluid dynamics, materials, image processing, and molecular dynamics.​

Computational Methods in Science and Engineering

Advances in Computational Science: Lectures Presented at the International Conference on Computational Methods in Sciences and Engineering 2008

Author: George Maroulis,Theodore E. Simos

Publisher: American Inst. of Physics

ISBN: 9780735406858

Category: Science

Page: 966

View: 516

The aim of ICCMSE 2008 is to bring together computational scientists and engineers from several disciplines in order to share methods, methodologies and ideas. The potential readers are all the scientists with interest in: Computational Mathematics, Theoretical Physics, Computational Physics, Theoretical Chemistry, Computational Chemistry, Mathematical Chemistry, Computational Engineering, Computational Mechanics, Computational Biology and Medicine, Scientific Computation, High Performance Computing, Parallel and Distributed Computing, Visualization, Problem Solving Environments, Software Tools, Advanced Numerical Algorithms, Modelling and Simulation of Complex Systems, Web-based Simulation and Computing, Grid-based Simulation and Computing, Computational Grids, and Computer Science.

Advances in mathematics of finance

Author: Stefan Banach International Mathematical Center

Publisher: N.A


Category: Finance

Page: 249

View: 7972

"This volume contains 15 papers contributed by the participands of the 2nd General AMaMeF conference and Banach Center converence 'Advances in mathematics of finance' organized in Bȩdlewo, Poland from 30th April till 5th May, 2007. AMaMeF (Advances Mathematical Methods of Finance) is a scientific programme of the European Science Foundation for 2005-2010"--Preface (p. 5).

Advanced Mathematical Methods for Finance

Author: Julia Di Nunno,Bernt Øksendal

Publisher: Springer Science & Business Media

ISBN: 9783642184123

Category: Mathematics

Page: 536

View: 4165

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Business & Economics

Optimization and Industry: New Frontiers

Author: Panos M. Pardalos,Viktor Filippovich Korotkikh,Victor Korotkikh

Publisher: Springer Science & Business Media

ISBN: 9781402011870

Category: Business & Economics

Page: 339

View: 6307

At the beginning of the new millennium, optimization is undergoing a major transformation in scope and dimension. It is evolving in response to challenges and opportunities from industry. From a largely dominant focus on specific problems, optimization is rapidly expanding to provide all the ingredients for a surge of a much broader development of technological, business and financial innovations. The chapters in the book give information about the latest advances of optimization in telecommunications, supply chain management, auto manufacturing, aerospace engineering, power industry, air traffic management, complexity and others. The book provides a unique opportunity for researchers in optimization and leaders of industry to understand the significance of the changes by presenting the field's accomplishments, new developments and future directions. Audience: The book is written at a level suitable for advanced undergraduate students, graduate students as well as research workers and practitioners in computer science, information technology, mathematics, management science and business. The book is quite suitable as a reference or as supplementary reading material for an advanced graduate course.
Business & Economics

Developments in Operational Research

Frontiers of Operational Research and Applied Systems Analysis

Author: R. W. Eglese,G. K. Rand

Publisher: Elsevier

ISBN: 1483161684

Category: Business & Economics

Page: 118

View: 806

Developments in Operational Research reviews developments in operational research (OR) and includes numerical examples to illustrate techniques and applications. Topics covered include some of the most widely used OR ""techniques"", such as mathematical programming and simulation, together with the contribution of OR methodology to specific application areas, such as capital investment appraisal and purchasing. This book is comprised of seven chapters and begins with an introduction to the state of mathematical programming systems, along with the relevance of other optimization algorithms to OR and techniques for handling certain types of nonlinearity. The discussion then turns to network optimization techniques and their applications for the New Zealand Justice Department as well as for the wheat and dairy industries. The following chapters focus on computer simulation as applied in OR, with emphasis on various approaches to discrete event modeling; application of OR to industrial maintenance and replacement; financial appraisal methods, including discounting methods; and the use of Bayesian decision analysis to decision making. This text concludes by looking at the purchasing function and the limitations of classical stock control theory in practice. Models and procedures are developed to cope with real situations. Materials requirements planning, quantity discounts, price inflation, commodity purchasing decisions, and blending problems are considered. This monograph will be of interest to planners, decision makers, and others involved in operations research.


Author: N.A

Publisher: N.A


Category: Statistics

Page: N.A

View: 3977


Domain Decomposition Methods in Science and Engineering XVII

Author: Ulrich Langer,Marco Discacciati,David E. Keyes,Olof Widlund,Walter Zulehner

Publisher: Springer Science & Business Media

ISBN: 9783540751991

Category: Mathematics

Page: 661

View: 3459

Domain decomposition is an active, interdisciplinary research field concerned with the development, analysis, and implementation of coupling and decoupling strategies in mathematical and computational models. This volume contains selected papers presented at the 17th International Conference on Domain Decomposition Methods in Science and Engineering. It presents the newest domain decomposition techniques and examines their use in the modeling and simulation of complex problems.

Computational Intelligence in Economics and Finance

Author: Paul P. Wang,Tzu-Wen Kuo

Publisher: Springer Science & Business Media

ISBN: 354072821X

Category: Computers

Page: 228

View: 3187

Readers will find, in this highly relevant and groundbreaking book, research ranging from applications in financial markets and business administration to various economics problems. Not only are empirical studies utilizing various CI algorithms presented, but so also are theoretical models based on computational methods. In addition to direct applications of computational intelligence, readers can also observe how these methods are combined with conventional analytical methods such as statistical and econometric models to yield preferred results.