Springer Proceedings in Mathematics - Numerical Methods in Finance
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Published By Springer Berlin Heidelberg

9783642257452, 9783642257469

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Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_4 ◽

2012 ◽

pp. 115-143 ◽

Author(s):

Pierre Del Moral ◽

Bruno Rémillard ◽

Sylvain Rubenthaler

Keyword(s):

Monte Carlo ◽

American Options

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_7 ◽

2012 ◽

pp. 215-255 ◽

Author(s):

Bruno Bouchard ◽

Xavier Warin

Keyword(s):

Monte Carlo ◽

American Options ◽

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Optimal Hedging of American Options in Discrete Time

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_5 ◽

2012 ◽

pp. 145-170 ◽

Author(s):

Bruno Rémillard ◽

Alexandre Hocquard ◽

Hugues Langlois ◽

Nicolas Papageorgiou

Keyword(s):

Discrete Time ◽

American Options ◽

Optimal Hedging

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American Option Valuation with Particle Filters

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_2 ◽

2012 ◽

pp. 51-82 ◽

Author(s):

Bhojnarine R. Rambharat

Keyword(s):

Particle Filters ◽

American Option ◽

Option Valuation

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Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_15 ◽

2012 ◽

pp. 447-471 ◽

Author(s):

J. Frédéric Bonnans ◽

Zhihao Cen ◽

Thibault Christel

Keyword(s):

Sensitivity Analysis ◽

Stochastic Programming ◽

Programming Techniques

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Gas Storage Hedging

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_14 ◽

2012 ◽

pp. 421-445 ◽

Author(s):

Xavier Warin

Keyword(s):

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An Introduction to Particle Methods with Financial Applications

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_1 ◽

2012 ◽

pp. 3-49 ◽

Author(s):

René Carmona ◽

Pierre Del Moral ◽

Peng Hu ◽

Nadia Oudjane

Keyword(s):

Particle Methods ◽

Financial Applications

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Swing Option Pricing by Optimal Exercise Boundary Estimation

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_13 ◽

2012 ◽

pp. 401-419

Author(s):

François Turboult ◽

Yassine Youlal

Keyword(s):

Option Pricing ◽

Optimal Exercise Boundary ◽

Boundary Estimation ◽

Exercise Boundary ◽

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A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_11 ◽

2012 ◽

pp. 353-378 ◽

Author(s):

Klaus Wiebauer

Keyword(s):

Electricity Markets ◽

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Least-Squares Monte Carlo for Backward SDEs

Springer Proceedings in Mathematics - Numerical Methods in Finance ◽

10.1007/978-3-642-25746-9_8 ◽

2012 ◽

pp. 257-289 ◽

Author(s):

Christian Bender ◽

Jessica Steiner

Keyword(s):

Monte Carlo ◽

Least Squares ◽

Least Squares Monte Carlo ◽

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