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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.
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.
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