computational methods for option pricing frontiers in applied mathematics

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Computational Methods For Option Pricing

Author : Yves Achdou
ISBN : 9780898715736
Genre : Technology & Engineering
File Size : 55. 74 MB
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This book allows you to understand fully the modern tools of numerical analysis in finance.

Computational Methods For Option Pricing

Author : Yves Achdou
ISBN : 9780898715736
Genre : Technology & Engineering
File Size : 35. 60 MB
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This book allows you to understand fully the modern tools of numerical analysis in finance.

Mathematical Modelling And Numerical Methods In Finance

Author :
ISBN : 9780080931005
Genre : Mathematics
File Size : 31. 38 MB
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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

Author : René Carmona
ISBN : 9783642257469
Genre : Mathematics
File Size : 26. 14 MB
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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.

American Type Options

Author : Dmitrii S. Silvestrov
ISBN : 9783110329827
Genre : Mathematics
File Size : 84. 49 MB
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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.

Mathematical And Computational Techniques For Multilevel Adaptive Methods

Author : Ulrich Rüde
ISBN : 1611970962
Genre : Differential equations, Partial
File Size : 43. 60 MB
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Multilevel adaptive methods play an increasingly important role in the solution of many scientific and engineering problems. Fast adaptive methods techniques are widely used by specialists to execute and analyze simulation and optimization problems. This monograph presents a unified approach to adaptive methods, addressing their mathematical theory, efficient algorithms, and flexible data structures. Rüde introduces a well-founded mathematical theory that leads to intelligent, adaptive algorithms, and suggests advanced software techniques. This new kind of multigrid theory supports the so-called "BPX" and "multilevel Schwarz" methods, and leads to the discovery of faster more robust algorithms. These techniques are deeply rooted in the theory of function spaces. Mathematical and Computational Techniques for Multilevel Adaptive Methods examines this development together with its implications for relevant algorithms for adaptive PDE methods. The author shows how abstract data types and object-oriented programming can be used for improved implementation.

Iterative Methods For Optimization

Author : C. T. Kelley
ISBN : 161197092X
Genre : Iterative methods (Mathematics)
File Size : 39. 90 MB
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This book presents a carefully selected group of methods for unconstrained and bound constrained optimization problems and analyzes them in depth both theoretically and algorithmically. It focuses on clarity in algorithmic description and analysis rather than generality, and while it provides pointers to the literature for the most general theoretical results and robust software, the author thinks it is more important that readers have a complete understanding of special cases that convey essential ideas. A companion to Kelley's book, Iterative Methods for Linear and Nonlinear Equations (SIAM, 1995), this book contains many exercises and examples and can be used as a text, a tutorial for self-study, or a reference. Iterative Methods for Optimization does more than cover traditional gradient-based optimization: it is the first book to treat sampling methods, including the Hooke-Jeeves, implicit filtering, MDS, and Nelder-Mead schemes in a unified way, and also the first book to make connections between sampling methods and the traditional gradient-methods. Each of the main algorithms in the text is described in pseudocode, and a collection of MATLAB codes is available. Thus, readers can experiment with the algorithms in an easy way as well as implement them in other languages.

Computational Frameworks For The Fast Fourier Transform

Author : Charles Van Loan
ISBN : 1611970997
Genre : Fourier transformations
File Size : 84. 17 MB
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The most comprehensive treatment of FFTs to date. Van Loan captures the interplay between mathematics and the design of effective numerical algorithms--a critical connection as more advanced machines become available. A stylized Matlab notation, which is familiar to those engaged in high-performance computing, is used. The Fast Fourier Transform (FFT) family of algorithms has revolutionized many areas of scientific computation. The FFT is one of the most widely used algorithms in science and engineering, with applications in almost every discipline. This volume is essential for professionals interested in linear algebra as well as those working with numerical methods. The FFT is also a great vehicle for teaching key aspects of scientific computing.

Iterative Methods For Optimization

Author : C. T. Kelley
ISBN : 161197092X
Genre : Iterative methods (Mathematics)
File Size : 71. 15 MB
Format : PDF, Docs
Download : 752
Read : 845

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This book presents a carefully selected group of methods for unconstrained and bound constrained optimization problems and analyzes them in depth both theoretically and algorithmically. It focuses on clarity in algorithmic description and analysis rather than generality, and while it provides pointers to the literature for the most general theoretical results and robust software, the author thinks it is more important that readers have a complete understanding of special cases that convey essential ideas. A companion to Kelley's book, Iterative Methods for Linear and Nonlinear Equations (SIAM, 1995), this book contains many exercises and examples and can be used as a text, a tutorial for self-study, or a reference. Iterative Methods for Optimization does more than cover traditional gradient-based optimization: it is the first book to treat sampling methods, including the Hooke-Jeeves, implicit filtering, MDS, and Nelder-Mead schemes in a unified way, and also the first book to make connections between sampling methods and the traditional gradient-methods. Each of the main algorithms in the text is described in pseudocode, and a collection of MATLAB codes is available. Thus, readers can experiment with the algorithms in an easy way as well as implement them in other languages.

Iterative Methods For Linear And Nonlinear Equations

Author : C. T. Kelley
ISBN : 1611970946
Genre : Iterative methods (Mathematics)
File Size : 37. 67 MB
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Download : 865
Read : 1093

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Linear and nonlinear systems of equations are the basis for many, if not most, of the models of phenomena in science and engineering, and their efficient numerical solution is critical to progress in these areas. This is the first book to be published on nonlinear equations since the mid-1980s. Although it stresses recent developments in this area, such as Newton-Krylov methods, considerable material on linear equations has been incorporated. This book focuses on a small number of methods and treats them in depth. The author provides a complete analysis of the conjugate gradient and generalized minimum residual iterations as well as recent advances including Newton-Krylov methods, incorporation of inexactness and noise into the analysis, new proofs and implementations of Broyden's method, and globalization of inexact Newton methods. Examples, methods, and algorithmic choices are based on applications to infinite dimensional problems such as partial differential equations and integral equations. The analysis and proof techniques are constructed with the infinite dimensional setting in mind and the computational examples and exercises are based on the MATLAB environment.

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