Numerical Methods in Finance
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2012
|
| Schriftenreihe: | Springer Proceedings in Mathematics
12 |
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV039872651 | ||
| 003 | DE-604 | ||
| 005 | 20181010 | ||
| 007 | t| | ||
| 008 | 120207s2012 xx d||| |||| 10||| eng d | ||
| 015 | |a 11,N46 |2 dnb | ||
| 016 | 7 | |a 1016844298 |2 DE-101 | |
| 020 | |a 3642257453 |9 3-642-25745-3 | ||
| 020 | |a 9783642257452 |c Gb. : ca. EUR 117.65 (DE) (freier Pr.), ca. EUR 121.00 (AT) (freier Pr.), ca. sfr 146.50 (freier Pr.) |9 978-3-642-25745-2 | ||
| 024 | 3 | |a 9783642257452 | |
| 028 | 5 | 2 | |a Best.-Nr.: 80027036 |
| 035 | |a (OCoLC)775827948 | ||
| 035 | |a (DE-599)DNB1016844298 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-945 |a DE-188 |a DE-83 | ||
| 082 | 0 | |a 332.0158 |2 22/ger | |
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a 91G60 |2 msc | ||
| 084 | |a 93E20 |2 msc | ||
| 084 | |a 91B28 |2 msc | ||
| 084 | |a 60G40 |2 msc | ||
| 084 | |a 510 |2 sdnb | ||
| 084 | |a 330 |2 sdnb | ||
| 245 | 1 | 0 | |a Numerical Methods in Finance |c ed. by René A. Carmona ... |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2012 | |
| 300 | |a XVII, 471 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Springer Proceedings in Mathematics |v 12 | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Numerisches Verfahren |0 (DE-588)4128130-5 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 655 | 7 | |0 (DE-588)1071861417 |a Konferenzschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | 1 | |a Numerisches Verfahren |0 (DE-588)4128130-5 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 700 | 1 | |a Carmona, René |d 1947- |e Sonstige |0 (DE-588)122405668 |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-642-25746-9 |
| 830 | 0 | |a Springer Proceedings in Mathematics |v 12 |w (DE-604)BV039878163 |9 12 | |
| 856 | 4 | 2 | |m X:MVB |q text/html |u http://deposit.dnb.de/cgi-bin/dokserv?id=3905502&prov=M&dok_var=1&dok_ext=htm |3 Inhaltstext |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731941&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-024731941 | |
Datensatz im Suchindex
| _version_ | 1819711786499178496 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
PART I PARTICLE METHODS IN FINANCE
AN INTRODUCTION TO PARTICLE METHODS WITH FINANCIAL APPLICATIONS 3 RENE
CARMONA, PIERRE DEL MORAL, PENG HU, AND NADIA OUDJANE
AMERICAN OPTION VALUATION WITH PARTICLE FILTERS 51
BHOJNARINE R. RAMBHARAT
MONTE CARLO METHODS FOR ADAPTIVE DISORDER PROBLEMS 83
MICHAEL LUDKOVSKI
PART II NUMERICAL METHODS FOR BACKWARD CONDITIONAL EXPECTATIONS
MONTE CARLO APPROXIMATIONS O F AMERICAN OPTIONS THAT PRESERVE
MONOTONICITY AND CONVEXITY 115
PIERRE DEL MORAL, BRUNO REMILLARD, AND SYLVAIN RUBENTHALER
OPTIMAL HEDGING OF AMERICAN OPTIONS IN DISCRETE TIME 145
BRUNO REMILLARD, ALEXANDRE HOCQUARD, HUGUES LANGLOIS, AND NICOLAS
PAPAGEORGIOU
OPTIMAL DELAUNAY AND VORONOI QUANTIZATION SCHEMES FOR PRICING AMERICAN
STYLE OPTIONS 171
GILLES PAGES AND BENEDIKT WILBERTZ
MONTE-CARLO VALUATION OF AMERICAN OPTIONS: FACTS AND NEW ALGORITHMS TO
IMPROVE EXISTING METHODS 215
BRUNO BOUCHARD AND XAVIER WARIN
LEAST-SQUARES MONTE CARLO FOR BACKWARD SDES 257
CHRISTIAN BENDER AND JESSICA STEINER
X L L L
HTTP://D-NB.INFO/1016844298
IMAGE 2
XIV CONTENTS
PRICING AMERICAN OPTIONS IN AN INFINITE ACTIVITY LEVY MARKET:
MONTE CARLO AND DETERMINISTIC APPROACHES USING A DIFFUSION APPROXIMATION
291
LISA J. POWERS, JOHANNA NESLEHOVA, AND DAVID A. STEPHENS
FOURIER COSINE EXPANSIONS AND PUT-CALL RELATIONS FOR BERMUDAN OPTIONS
323
BOWEN ZHANG AND CORNELIS W. OOSTERLEE
PART III NUMERICAL METHODS FOR ENERGY DERIVATIVES
A PRACTICAL VIEW ON VALUATION OF MULTI-EXERCISE AMERICAN STYLE OPTIONS
IN GAS AND ELECTRICITY MARKETS 353
KLAUS WIEBAUER
SWING OPTIONS VALUATION: A BSDE WITH CONSTRAINED JUMPS APPROACH 379
MARIE BERNHART, HUYEN PHAM, PETER TANKOV, AND XAVIER WARIN
SWING OPTION PRICING BY OPTIMAL EXERCISE BOUNDARY ESTIMATION 401
FRANFOIS TURBOULT AND YASSINE YOULAL
GAS STORAGE HEDGING 421
XAVIER WARIN
SENSITIVITY ANALYSIS OF ENERGY CONTRACTS BY STOCHASTIC PROGRAMMING
TECHNIQUES 447
J. FREDERIC BONNANS, ZHIHAO CEN, AND THIBAULT CHRISTEL
|
| any_adam_object | 1 |
| author_GND | (DE-588)122405668 |
| building | Verbundindex |
| bvnumber | BV039872651 |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)775827948 (DE-599)DNB1016844298 |
| dewey-full | 332.0158 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0158 |
| dewey-search | 332.0158 |
| dewey-sort | 3332.0158 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02267nam a2200553 cb4500</leader><controlfield tag="001">BV039872651</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20181010 </controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">120207s2012 xx d||| |||| 10||| eng d</controlfield><datafield tag="015" ind1=" " ind2=" "><subfield code="a">11,N46</subfield><subfield code="2">dnb</subfield></datafield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">1016844298</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">3642257453</subfield><subfield code="9">3-642-25745-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783642257452</subfield><subfield code="c">Gb. : ca. EUR 117.65 (DE) (freier Pr.), ca. EUR 121.00 (AT) (freier Pr.), ca. sfr 146.50 (freier Pr.)</subfield><subfield code="9">978-3-642-25745-2</subfield></datafield><datafield tag="024" ind1="3" ind2=" "><subfield code="a">9783642257452</subfield></datafield><datafield tag="028" ind1="5" ind2="2"><subfield code="a">Best.-Nr.: 80027036</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)775827948</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)DNB1016844298</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-188</subfield><subfield code="a">DE-83</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.0158</subfield><subfield code="2">22/ger</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">91G60</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">93E20</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">91B28</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">60G40</subfield><subfield code="2">msc</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">510</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">330</subfield><subfield code="2">sdnb</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Numerical Methods in Finance</subfield><subfield code="c">ed. by René A. Carmona ...</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Berlin [u.a.]</subfield><subfield code="b">Springer</subfield><subfield code="c">2012</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 471 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Springer Proceedings in Mathematics</subfield><subfield code="v">12</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Numerisches Verfahren</subfield><subfield code="0">(DE-588)4128130-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)1071861417</subfield><subfield code="a">Konferenzschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Numerisches Verfahren</subfield><subfield code="0">(DE-588)4128130-5</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Carmona, René</subfield><subfield code="d">1947-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)122405668</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-3-642-25746-9</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">Springer Proceedings in Mathematics</subfield><subfield code="v">12</subfield><subfield code="w">(DE-604)BV039878163</subfield><subfield code="9">12</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">X:MVB</subfield><subfield code="q">text/html</subfield><subfield code="u">http://deposit.dnb.de/cgi-bin/dokserv?id=3905502&prov=M&dok_var=1&dok_ext=htm</subfield><subfield code="3">Inhaltstext</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731941&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-024731941</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)1071861417 Konferenzschrift gnd-content |
| genre_facet | Aufsatzsammlung Konferenzschrift |
| id | DE-604.BV039872651 |
| illustrated | Illustrated |
| indexdate | 2024-12-24T02:32:54Z |
| institution | BVB |
| isbn | 3642257453 9783642257452 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024731941 |
| oclc_num | 775827948 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-945 DE-188 DE-83 |
| owner_facet | DE-355 DE-BY-UBR DE-945 DE-188 DE-83 |
| physical | XVII, 471 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Springer |
| record_format | marc |
| series | Springer Proceedings in Mathematics |
| series2 | Springer Proceedings in Mathematics |
| spellingShingle | Numerical Methods in Finance Springer Proceedings in Mathematics Finanzmathematik (DE-588)4017195-4 gnd Numerisches Verfahren (DE-588)4128130-5 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4128130-5 (DE-588)4143413-4 (DE-588)1071861417 |
| title | Numerical Methods in Finance |
| title_auth | Numerical Methods in Finance |
| title_exact_search | Numerical Methods in Finance |
| title_full | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_fullStr | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_full_unstemmed | Numerical Methods in Finance ed. by René A. Carmona ... |
| title_short | Numerical Methods in Finance |
| title_sort | numerical methods in finance |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Numerisches Verfahren (DE-588)4128130-5 gnd |
| topic_facet | Finanzmathematik Numerisches Verfahren Aufsatzsammlung Konferenzschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3905502&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024731941&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV039878163 |
| work_keys_str_mv | AT carmonarene numericalmethodsinfinance |