{"product_id":"9783642444074","title":"Numerical Methods in Finance : Bordeaux, June 2010 (Springer Proceedings in Mathematics .12) (2012. 2014. xviii, 474 S. 235 mm)","description":"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.\u003cbr\u003e \u003cp\u003e\u003cb\u003ePart I: Particle Methods in Finance.- \u003c\/b\u003e1 \u003ci\u003eR. Carmona, P. Del Moral, P. Hu, N, Oudjane\u003c\/i\u003e: An Introduction to Particle Methods with Financial Applications.- 2.\u003ci\u003eBhojnarine R. Rambharat:\u003c\/i\u003e American option valuation with particle filters.- 3.\u003ci\u003eMichael Ludkovski\u003c\/i\u003e: Monte Carlo Methods for Adaptive Disorder Problems.- \u003cb\u003ePart II: Numerical methods for backward conditional expectations.\u003c\/b\u003e- 4.\u003ci\u003ePierre Del Moral, Bruno Rémillard, Sylvain Rubenthale:\u003c\/i\u003e Monte Carlo approximations of American options that preserve monotonicity and convexity.- 5.\u003ci\u003eBruno Rémillard, Alexandre Hocquard, Hugues Langlois, and Nicolas Papageorgiou\u003c\/i\u003e: Optimal Hedging of American Options in Discrete Time.- 6.\u003ci\u003eGilles Pagès and Benedikt Wilbertz:\u003c\/i\u003e Optimal Delaunay and Voronoi quantization schemes for pricing American style options.- 7.\u003ci\u003eBruno Bouchard, Xavier Warin:\u003c\/i\u003e Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods.- 8.\u003ci\u003eChristian Bender and Jessica Steiner:\u003c\/i\u003e Least-squares Monte Carlo for backward SDEs.- 9.\u003ci\u003eLisa J. Powers, Johanna Neslehová, and David A. Stephens:\u003c\/i\u003e Pricing American Options in an infinite activity Lévy market: Monte Carlo and deterministic approaches using a diffusion approximation.- 10.\u003ci\u003eBowen Zhang and Cornelis W. Oosterlee:\u003c\/i\u003e Fourier Cosine Expansions and Put-Call Relations for Bermudan Options.- \u003cb\u003ePart III: Numerical methods for energy derivatives.\u003c\/b\u003e- 11.\u003ci\u003eKlaus Wiebauer:\u003c\/i\u003e A practical view on valuation of multi-exercise American style options in gas and electricity markets.- 12. \u003ci\u003eMarie Bernhart, Huyen Pham, Peter Tankov and Xavier Warin:\u003c\/i\u003e Swing Options Valuation: a BSDE with Constrained Jumps Approach.- 13.\u003ci\u003eFrançois Turboult and Yassine Youlal:\u003c\/i\u003e Swing option pricing by optimal exercise boundary estimation.- 14.\u003ci\u003eXavier Warin:\u003c\/i\u003e Gas Storage Hedging.- 15.\u003ci\u003eJ.Frédéric Bonnans, Zhihao Cen, Thibault Christel:\u003c\/i\u003e Sensitivity analysis of energy contractsby stochastic programming techniques.\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e","brand":"SPRINGER, BERLIN; SPRINGER","offers":[{"title":"Default Title","offer_id":52368656531767,"sku":"00000_00000_00000_00000","price":866.82,"currency_code":"MYR","in_stock":true}],"url":"https:\/\/kinokuniya.com.my\/products\/9783642444074","provider":"Books Kinokuniya Malaysia","version":"1.0","type":"link"}