| 书目名称 | Topics in Numerical Methods for Finance |
| 编辑 | Mark Cummins,Finbarr Murphy,John J.H. Miller |
| 视频video | |
| 概述 | Provides valuable, practical and cutting-edge developments in a variety of quantitative finance areas, including option pricing, arbitrage-free surface construction, moving boundary problems, arbitrag |
| 丛书名称 | Springer Proceedings in Mathematics & Statistics |
| 图书封面 |  |
| 描述 | .Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Effici |
| 出版日期 | Conference proceedings 2012 |
| 关键词 | Credit Derivatives; Liquidity Modelling; Numerical Analysis; integral transform methods; inverse problem |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-1-4614-3433-7 |
| isbn_softcover | 978-1-4899-7355-9 |
| isbn_ebook | 978-1-4614-3433-7Series ISSN 2194-1009 Series E-ISSN 2194-1017 |
| issn_series | 2194-1009 |
| copyright | Springer Science+Business Media New York 2012 |
发表于 2025-3-21 18:02:22
