Topics in Numerical Methods for Finance

Editors:

ISBN: 978-1-4614-3432-0 (Print) 978-1-4614-3433-7 (Online)

Table of contents (10 chapters)

  1. Front Matter

    Pages i-xi

  2. No Access

    Book Chapter

    Pages 1-13

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

  3. No Access

    Book Chapter

    Pages 15-22

    Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces

  4. No Access

    Book Chapter

    Pages 23-36

    Solving Impulse-Control Problems with Control Delays

  5. No Access

    Book Chapter

    Pages 37-55

    FIX: The Fear Index—Measuring Market Fear

  6. No Access

    Book Chapter

    Pages 57-94

    American Option Pricing Using Simulation and Regression: Numerical Convergence Results

  7. No Access

    Book Chapter

    Pages 95-113

    The COS Method for Pricing Options Under Uncertain Volatility

  8. No Access

    Book Chapter

    Pages 115-137

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

  9. No Access

    Book Chapter

    Pages 139-154

    Pricing Credit Derivatives in a Wiener–Hopf Framework

  10. No Access

    Book Chapter

    Pages 155-176

    The Evaluation of Gas Swing Contracts with Regime Switching

  11. No Access

    Book Chapter

    Pages 177-200

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

  12. Back Matter

    Pages 201-204