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An Introduction to Particle Methods with Financial Applications

  • René Carmona
  • Pierre Del Moral
  • Peng HuEmail author
  • Nadia Oudjane
Conference paper
Part of the Springer Proceedings in Mathematics book series (PROM, volume 12)

Abstract

The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications such as pricing complex path dependent European options, computing sensitivities, pricing American options or numerically solving partially observed control and estimation problems.

Keywords

Advanced Monte Carlo Feynman-Kac Interacting particle system 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • René Carmona
    • 1
  • Pierre Del Moral
    • 2
    • 3
  • Peng Hu
    • 2
    Email author
  • Nadia Oudjane
    • 4
  1. 1.Department of Operations Research and Financial Engineering, Bendheim Center for FinancePrinceton UniversityPrincetonUSA
  2. 2.Bordeaux Mathematical Institute, INRIA Bordeaux-Sud Ouest CenterUniversit Bordeaux ITalence cedexFrance
  3. 3.Centre de Mathématiques AppliquéesÉcole Polytechnique CNRSPalaiseauFrance
  4. 4.EDF R&D, Université Paris 13 and FiME (Finance for Energy Market Research Centre (Dauphine, CREST, EDF R&D))ClamartFrance

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