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Numerical Methods for Nonlinear PDEs in Finance · Study

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ChapterNumerical Methods for Nonlinear PDEs in Finance

Peter Forsyth2011

Chapter2011

Numerical Methods for Nonlinear PDEs in Finance

Peter Forsyth · K.R. Vetzal

43 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Nonlinear Partial Differential Equations

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References

1990Numerical Methods for Stochastic Control Problems in Continuous Time 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 1985Option Pricing and Replication with Transactions Costs 1995Pricing and hedging derivative securities in markets with uncertain volatilities 1992Numerical Methods for Stochastic Control Problems in Continuous Time 2010Dynamic Mean-Variance Asset Allocation 1995Uncertain volatility and the risk-free synthesis of derivatives

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Year2011

Typechapter

Published2011-07-10

VenueSpringer eBooks

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-17254-0_18

openalex_workW77275776

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