EAN: 9783642257452

NUMERICAL METHODS IN FINANCE GEBUNDEN

Numerical methods in finance have emerged as a vital field at the crossroads of probability
theory  finance and numerical analysis. Based on presentations given at the workshop Numerical
Methods in Finance held at the INRIA Bordeaux (France) on June 1-2  2010  this book provides an
overview of the major new advances in the numerical treatment of instruments with American
exercises. Naturally it covers the most recent research on the mathematical theory and the
practical applications of optimal stopping problems as they relate to financial applications.
By extension  it also provides an original treatment of Monte Carlo methods for the recursive
computation of conditional expectations and solutions of BSDEs and generalized multiple optimal
stopping problems and their applications to the valuation of energy derivatives and assets. The
articles were carefully written in a pedagogical style and a reasonably self-contained manner.
The book is geared toward quantitative analysts  probabilists  and applied mathematicians
interested in financial applications.

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