Book contents
- Frontmatter
- Contents
- Contributors
- Introduction
- Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory
- Continuous-Time Monte Carlo Methods and Variance Reduction
- Recent Advances in Numerical Methods for Pricing Derivative Securities
- American Options: A Comparison of Numerical Methods
- Fast, Accurate and Inelegant Valuation of American Options
- Valuation of American Option in a Jump-diffusion Models
- Some Nonlinear Methods for Studying Far-from-the-money Contingent Claims
- Monte Carlo Methods for Stochastic Volatility Models
- Dynamic Optimization for a Mixed Portfolio with Transaction Costs
- Imperfect Markets and Backward Stochastic Differential Equations
- Reflected Backward SDEs and American Options
- Numerical Methods for Backward Stochastic Differential Equations
- Viscosity Solutions and Numerical Schemes for Investment/Consumption Models with Transaction Costs
- Does Volatility Jump or Just Diffuse? A Statistical Approach
- Martingale-Based Hedge Error Control
- The Use of Second-Order Stochastic Dominance To Bound European Call Prices: Theory and Results
Imperfect Markets and Backward Stochastic Differential Equations
Published online by Cambridge University Press: 05 June 2012
- Frontmatter
- Contents
- Contributors
- Introduction
- Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory
- Continuous-Time Monte Carlo Methods and Variance Reduction
- Recent Advances in Numerical Methods for Pricing Derivative Securities
- American Options: A Comparison of Numerical Methods
- Fast, Accurate and Inelegant Valuation of American Options
- Valuation of American Option in a Jump-diffusion Models
- Some Nonlinear Methods for Studying Far-from-the-money Contingent Claims
- Monte Carlo Methods for Stochastic Volatility Models
- Dynamic Optimization for a Mixed Portfolio with Transaction Costs
- Imperfect Markets and Backward Stochastic Differential Equations
- Reflected Backward SDEs and American Options
- Numerical Methods for Backward Stochastic Differential Equations
- Viscosity Solutions and Numerical Schemes for Investment/Consumption Models with Transaction Costs
- Does Volatility Jump or Just Diffuse? A Statistical Approach
- Martingale-Based Hedge Error Control
- The Use of Second-Order Stochastic Dominance To Bound European Call Prices: Theory and Results
Summary
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- Chapter
- Information
- Numerical Methods in Finance , pp. 181 - 214Publisher: Cambridge University PressPrint publication year: 1997
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