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Numerical Methods in Finance · Study

BookNumerical Methods in Finance

Rene A. Carmona2012

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Bookgreen2012

Numerical Methods in Finance

Rene A. Carmona · Pierre Del Moral · Peng Fei Hu · Nadia Oudjane

43 citations·0/0 files stored·Springer proceedings in mathematics

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Stochastic processes and financial applications Mathematical and Computational Methods Numerical methods for differential equations

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References

1999Applications of Malliavin calculus to Monte Carlo methods in finance 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 1996Valuation of the early-exercise price for options using simulations and nonparametric regression 1996Estimating Security Price Derivatives Using Simulation 2005A regression-based Monte Carlo method to solve backward stochastic differential equations 2002An analysis of a least squares regression method for American option pricing 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II 2005Functional quantization for numerics with an application to option pricing

Cited by

2014A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimension 2014Numerical Fourier Method and Second-Order Taylor Scheme for Backward SDEs in Finance 2017Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering 2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

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2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methodschapter · 7 shared references 2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEschapter · 7 shared references 2023Numerical methods for backward stochastic differential equations: A surveyarticle · 7 shared references 2005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approacharticle · 5 shared references 2004Malliavin Calculus in Financechapter · 5 shared references 2012Discrete-time approximation of multidimensional BSDEs with oblique reflectionsarticle · 5 shared references

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Year2012

Typebook

Published2012-01-01

VenueSpringer proceedings in mathematics

ISSN-L2190-5614

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-25746-9

openalex_workW2208074265

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2017

A backward Monte Carlo approach to exotic option pricing