Description |
1 online resource |
Series |
Springer proceedings in mathematics & statistics, 2194-1017 ; v. 19 |
|
Springer proceedings in mathematics & statistics ; v. 19.
|
Contents |
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance / Nicola Bruti-Liberati and Eckhard Platen -- Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces / Pascal Heider -- Solving Impulse-Control Problems with Control Delays / Kumar Muthuraman and Qi Wu -- FIX: The Fear Index--Measuring Market Fear / J. Dhaene, J. Dony, M.B. Forys, D. Linders and W. Schoutens -- American Option Pricing Using Simulation and Regression: Numerical Convergence Results / Lars Stentoft -- The COS Method for Pricing Options Under Uncertain Volatility / M.J. Ruijter and C.W. Oosterlee -- Fast Fourier Transform Option Pricing: Efficient Approximation Methods Under Multi-Factor Stochastic Volatility and Jumps / J.P.F. Charpin and M. Cummins -- Pricing Credit Derivatives in a Wiener-Hopf Framework / Daniele Marazzina, Gianluca Fusai and Guido Germano -- The Evaluation of Gas Swing Contracts with Regime Switching / Carl Chiarella, Les Clewlow and Boda Kang -- A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets / Kitty Moloney and Srinivas Raghavendra |
Summary |
Areas of numerical finance covered include: valuation and risk management of exotic derivatives (path-dependency and/or early exercise features); integral transform methods, in particular Fourier and FFT; simulation methods; lattice methods; partial differential equation methods; algorithmic and statistical arbitrage trading models; financial econometric methods; and inverse problems. The following two special themes of particular relevance given the current landscape of financial markets are emphasized: Special Theme 1 - Energy & Commodities Trading & Risk Management Given the unique physical-based features of the energy and commodities markets relative to other financial markets, leading advances in the application of numerical methods for the trading, valuation and risk management of the following are encouraged: Gas and oil storage contracts; Swing and take-or-pay contracts; Tolling agreements; Real options and virtual energy contracts; Emissions and environmental products, in particular EUAs and CERs; Alternative and green energy products. Special Theme 2 - Credit Derivatives, Credit Risk Modelling & Liquidity Modelling. Given the issues highlighted in relation to model risk in the credit markets during the global credit crisis, and with the changing regulatory environment driven by the Dodd-Frank Act, Basel III and Solvency II, cutting-edge research in the following key areas is encouraged: Default modelling and CDS valuation; Credit risk modelling; Credit adjustment valuation (CVA); Liquidity modelling |
Analysis |
Mathematics |
|
Finance |
|
Computer science -- Mathematics |
|
Quantitative Finance |
|
Finance/Investment/Banking |
|
Computational Mathematics and Numerical Analysis |
Bibliography |
Includes bibliographical references and index |
Subject |
Business mathematics.
|
|
Commerce.
|
|
Economics.
|
|
Mathematics.
|
|
Commerce
|
|
Economics
|
|
Mathematics
|
|
Risk Sharing, Financial
|
|
economics.
|
|
BUSINESS & ECONOMICS -- Econometrics.
|
|
BUSINESS & ECONOMICS -- Statistics.
|
|
Matemáticas financieras
|
|
Comercio
|
|
Economía
|
|
Matemáticas
|
|
Mathematics
|
|
Economics
|
|
Commerce
|
|
Business mathematics
|
Genre/Form |
proceedings (reports)
|
|
Conference papers and proceedings
|
|
Conference papers and proceedings.
|
|
Actes de congrès.
|
Form |
Electronic book
|
Author |
Cummins, Mark, 1968-
|
|
Murphy, Finbarr.
|
|
Miller, J. J. H. (John James Henry), 1937-
|
ISBN |
9781461434337 |
|
1461434335 |
|