Titlebook: Novel Methods in Computational Finance; Matthias Ehrhardt,Michael Günther,E. Jan W. ter Ma Book 2017 Springer International Publishing AG

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Introduction

A Highly Efficient Numerical Method for the SABR Model some known issues of the implied volatility expression for small strike values are overcome. A generalization of this technique to the multiple time-step case has been presented in Leitao et al. (On an efficient multiple time-step Monte Carlo simulation of the SABR model 2016, submitted for publication. Available at SSRN: .).

mitral-valve

Accurate Vega Calculation for Bermudan Swaptionshift of single volatility surface grid points. Thus this procedure may underestimate sensitivities. In this chapter, we demonstrate how Adjoint Algorithmic Differentiation can be used to calculate accurate and stable Vegas without loss of performance.

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1612-3956 merical solution methods for nonlinear Black-Scholes equatio.This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project i

Meager

Nonlinear Parabolic Equations Arising in Mathematical Financens, both problems can be represented by solutions to nonlinear parabolic equations. Qualitative analysis will be focused on issues concerning the existence and uniqueness of solutions. In the numerical part we discuss a stable finite-volume and finite difference schemes for solving fully nonlinear parabolic equations.

Pudendal-Nerve

enmesh

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Stochastic Dynamic Programming and Control of Markov Processests of the dynamic programming principle and Hamilton-Jacobi-Bellman equations and their potential as tools to solve a large array of optimization problems, without paying too much attention to the technical difficulties that often arise in concrete applications.