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Novel Methods in Computational Finance

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Cover of 'Novel Methods in Computational Finance'

Table of Contents

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    Book Overview
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    Chapter 1 Nonlinear Parabolic Equations Arising in Mathematical Finance
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    Chapter 2 Modeling of Herding and Wealth Distribution in Large Markets
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    Chapter 3 Indifference Pricing in a Market with Transaction Costs and Jumps
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    Chapter 4 Negative Rates: New Market Practice
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    Chapter 5 Accurate Vega Calculation for Bermudan Swaptions
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    Chapter 6 Modelling and Calibration of Stochastic Correlation in Finance
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    Chapter 7 Lie Group Analysis of Nonlinear Black-Scholes Models
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    Chapter 8 Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations
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    Chapter 9 Stochastic Dynamic Programming and Control of Markov Processes
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    Chapter 10 Numerical Analysis of Novel Finite Difference Methods
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    Chapter 11 Modified Barrier Penalization Method for Pricing American Options
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    Chapter 12 Newton-Based Solvers for Nonlinear PDEs in Finance
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    Chapter 13 Implicit-Explicit Schemes for European Option Pricing with Liquidity Shocks
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    Chapter 14 A Highly Efficient Numerical Method for the SABR Model
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    Chapter 15 PDE Methods for SABR
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    Chapter 16 Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models
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    Chapter 17 Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids
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    Chapter 18 High Order Compact Schemes for Option Pricing with Liquidity Shocks
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    Chapter 19 Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models
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    Chapter 20 Numerical Study of Splitting Methods for American Option Valuation
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    Chapter 21 High-Order-Compact ADI Schemes for Pricing Basket Options in the Combination Technique
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    Chapter 22 Splitting Methods for Fokker-Planck Equations Related to Jump-Diffusion Processes
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    Chapter 23 A Fokker-Planck Based Approach to Control Jump Processes
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    Chapter 24 Proper Orthogonal Decomposition in Option Pricing
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    Chapter 25 Alternative Parallel Strategies for Linear and Nonlinear PDEs in Option Pricing
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    Chapter 26 Modern Monte Carlo Methods and GPU Computing
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    Chapter 27 Sparse Grid Combination Technique for Hagan SABR/LIBOR Market Model
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    Chapter 28 Stochastic Filtering Methods in Electronic Trading
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    Chapter 29 Using Python to Analyse Financial Markets
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    Chapter 30 The STRIKE Computational Finance Toolbox
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Title
Novel Methods in Computational Finance
Published by
Springer International Publishing, January 2017
DOI 10.1007/978-3-319-61282-9
ISBNs
978-3-31-961281-2, 978-3-31-961282-9
Editors

Prof. Dr. Matthias Ehrhardt, Prof. Dr. Michael Günther, Dr. E. Jan W. ter Maten

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The data shown below were compiled from readership statistics for 1 Mendeley reader of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
Unknown 1 100%

Demographic breakdown

Readers by professional status Count As %
Student > Master 1 100%
Readers by discipline Count As %
Economics, Econometrics and Finance 1 100%