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Topics in Numerical Methods for Finance

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Cover of 'Topics in Numerical Methods for Finance'

Table of Contents

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    Book Overview
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    Chapter 1 On Weak Predictor–Corrector Schemes for Jump-Diffusion Processes in Finance
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    Chapter 2 Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces
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    Chapter 3 Solving Impulse-Control Problems with Control Delays
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    Chapter 4 FIX: The Fear Index—Measuring Market Fear
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    Chapter 5 American Option Pricing Using Simulation and Regression: Numerical Convergence Results
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    Chapter 6 The COS Method for Pricing Options Under Uncertain Volatility
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    Chapter 7 Fast Fourier Transform Option Pricing: Efficient Approximation Methods Under Multi-Factor Stochastic Volatility and Jumps
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    Chapter 8 Pricing Credit Derivatives in a Wiener–Hopf Framework
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    Chapter 9 The Evaluation of Gas Swing Contracts with Regime Switching
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    Chapter 10 A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets
Attention for Chapter 10: A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets
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