Novel Methods in Computational Finance - Mathematics in Industry
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Published By Springer International Publishing

9783319612812, 9783319612829
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Accurate Vega Calculation for Bermudan Swaptions

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pp. 65-82
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Mark Beinker ◽  
Sebastian Schlenkrich
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Bermudan Swaptions

Alternating Direction Explicit Methods for Linear, Nonlinear and Multi-Dimensional Black-Scholes Models

2017 ◽  
pp. 333-371
Author(s):  
Zuzana Bučková ◽  
Matthias Ehrhardt ◽  
Michael Günther ◽  
Pedro Pólvora
Keyword(s):  
Explicit Methods ◽  
Alternating Direction ◽  
Black Scholes

Modeling of Herding and Wealth Distribution in Large Markets

2017 ◽  
pp. 17-29
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Ansgar Jüngel ◽  
Lara Trussardi
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Wealth Distribution

High Order Compact Schemes for Option Pricing with Liquidity Shocks

2017 ◽  
pp. 321-331
Author(s):  
Miglena N. Koleva ◽  
Walter Mudzimbabwe ◽  
Lubin G. Vulkov
Keyword(s):  
Option Pricing ◽  
High Order ◽  
Compact Schemes ◽  
Liquidity Shocks

Proper Orthogonal Decomposition in Option Pricing

2017 ◽  
pp. 441-452
Author(s):  
José P. Silva ◽  
E. Jan W. ter Maten ◽  
Michael Günther ◽  
Matthias Ehrhardt
Keyword(s):  
Option Pricing ◽  
Proper Orthogonal Decomposition ◽  
Orthogonal Decomposition ◽  
Proper Orthogonal

PDE Methods for SABR

2017 ◽  
pp. 265-291 ◽  
Author(s):  
Jörg Kienitz ◽  
Thomas McWalter ◽  
Roelof Sheppard
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Pde Methods

Numerical Analysis of Novel Finite Difference Methods

2017 ◽  
pp. 171-214 ◽  
Author(s):  
Rafael Company ◽  
Vera N. Egorova ◽  
Mohamed El Fakharany ◽  
Lucas Jódar ◽  
Fazlollah Soleymani
Keyword(s):  
Numerical Analysis ◽  
Finite Difference ◽  
Finite Difference Methods ◽  
Difference Methods
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