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Numerical Methods in Finance

Overview of attention for book
Cover of 'Numerical Methods in Finance'

Table of Contents

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    Book Overview
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    Chapter 1 An Introduction to Particle Methods with Financial Applications
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    Chapter 2 American Option Valuation with Particle Filters
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    Chapter 3 Monte Carlo Methods for Adaptive Disorder Problems
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    Chapter 4 Numerical Methods in Finance
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    Chapter 5 Optimal Hedging of American Options in Discrete Time
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    Chapter 6 Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
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    Chapter 7 Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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    Chapter 8 Least-Squares Monte Carlo for Backward SDEs
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    Chapter 9 Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation
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    Chapter 10 Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
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    Chapter 11 A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets
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    Chapter 12 Swing Options Valuation: A BSDE with Constrained Jumps Approach
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    Chapter 13 Swing Option Pricing by Optimal Exercise Boundary Estimation
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    Chapter 14 Gas Storage Hedging
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    Chapter 15 Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques
Attention for Chapter 8: Least-Squares Monte Carlo for Backward SDEs
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