Numerical Methods in Finance
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17

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Published By Cambridge University Press

9780521573542, 9780521061698, 9781139173056

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.002 ◽

1997 ◽

pp. 1-21 ◽

Author(s):

G. Barles

Keyword(s):

Parabolic Equations ◽

Degenerate Parabolic Equations ◽

Numerical Schemes ◽

Degenerate Parabolic ◽

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Dynamic Optimization for a Mixed Portfolio with Transaction Costs

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.010 ◽

1997 ◽

pp. 165-180 ◽

Author(s):

Agnès Sulem

Keyword(s):

Transaction Costs ◽

Dynamic Optimization

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Monte Carlo Methods for Stochastic Volatility Models

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.009 ◽

1997 ◽

pp. 146-164 ◽

Author(s):

E. Fournié ◽

J. M. Lasry ◽

N. Touzi

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Monte Carlo Methods ◽

Stochastic Volatility Models ◽

Volatility Models

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Fast, Accurate and Inelegant Valuation of American Options

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.006 ◽

1997 ◽

pp. 88-92 ◽

Author(s):

Adriaan Joubert ◽

L.C.G. Rogers

Keyword(s):

American Options

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Martingale-Based Hedge Error Control

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.016 ◽

1997 ◽

pp. 290-304

Author(s):

Peter Bossaerts ◽

Bas Werker

Keyword(s):

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American Options: A Comparison of Numerical Methods

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.005 ◽

1997 ◽

pp. 67-87 ◽

Author(s):

F. AitSahlia ◽

P. Carr

Keyword(s):

Numerical Methods ◽

American Options

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Some Nonlinear Methods for Studying Far-from-the-money Contingent Claims

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.008 ◽

1997 ◽

pp. 115-145 ◽

Author(s):

E. Fournié ◽

J.M. Lasry ◽

P.L. Lions

Keyword(s):

Contingent Claims ◽

Nonlinear Methods

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Recent Advances in Numerical Methods for Pricing Derivative Securities

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.004 ◽

1997 ◽

pp. 43-66 ◽

Author(s):

M. Broadie ◽

J. Detemple

Keyword(s):

Numerical Methods ◽

Derivative Securities ◽

Recent Advances ◽

Pricing Derivative Securities

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Viscosity Solutions and Numerical Schemes for Investment/Consumption Models with Transaction Costs

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.014 ◽

1997 ◽

pp. 245-269 ◽

Author(s):

Agnès Tourin ◽

Thaleia Zariphopoulou

Keyword(s):

Transaction Costs ◽

Viscosity Solutions ◽

Numerical Schemes

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The Use of Second-Order Stochastic Dominance To Bound European Call Prices: Theory and Results

Numerical Methods in Finance ◽

10.1017/cbo9781139173056.017 ◽

1997 ◽

pp. 305-326

Author(s):

Claude Henin ◽

Nathalie Pistre

Keyword(s):

Stochastic Dominance ◽

Second Order ◽

Order Stochastic Dominance ◽

Second Order Stochastic Dominance

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