Numerical Methods in Finance

Bordeaux, June 2010

  • René A. Carmona
  • Pierre Del Moral
  • Peng Hu
  • Nadia Oudjane

Part of the Springer Proceedings in Mathematics book series (PROM, volume 12)

Table of contents

  1. Front Matter
    Pages i-xvii
  2. Particle Methods in Finance

    1. Front Matter
      Pages 1-1
    2. René Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane
      Pages 3-49
    3. Bhojnarine R. Rambharat
      Pages 51-82
  3. Numerical Methods for Backward Conditional Expectations

    1. Front Matter
      Pages 113-113
    2. Pierre Del Moral, Bruno Rémillard, Sylvain Rubenthaler
      Pages 115-143
    3. Bruno Rémillard, Alexandre Hocquard, Hugues Langlois, Nicolas Papageorgiou
      Pages 145-170
    4. Christian Bender, Jessica Steiner
      Pages 257-289
    5. Bowen Zhang, Cornelis W. Oosterlee
      Pages 323-350
  4. Numerical Methods for Energy Derivatives

    1. Front Matter
      Pages 351-351
    2. Marie Bernhart, Huyên Pham, Peter Tankov, Xavier Warin
      Pages 379-400
    3. François Turboult, Yassine Youlal
      Pages 401-419
    4. Xavier Warin
      Pages 421-445
    5. J. Frédéric Bonnans, Zhihao Cen, Thibault Christel
      Pages 447-471

About these proceedings

Introduction

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.

Keywords

Energy securities Numerical methods Optimal stopping

Editors and affiliations

  • René A. Carmona
    • 1
  • Pierre Del Moral
    • 2
  • Peng Hu
    • 3
  • Nadia Oudjane
    • 4
  1. 1.Dept. Operations Research &, Financial EngineeringPrinceton UniversityPrincetonUSA
  2. 2.Centre INRIA Bordeaux Sud-Ouest, Institut de MathématiquesUniversité Bordeaux ITalence CedexFrance
  3. 3.Centre INRIA Bordeaux Sud-Ouest, Institut de MathématiquesUniversité Bordeaux ITalence CedexFrance
  4. 4.EDF Recherche et DéveloppementClamartFrance

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-25746-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-25745-2
  • Online ISBN 978-3-642-25746-9
  • Series Print ISSN 2190-5614
  • Series Online ISSN 2190-5622
  • About this book