Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. (English) Zbl 0867.00036

Cambridge: Cambridge Univ. Press. x, 326 p. (1997).

Show indexed articles as search result.

The articles of this volume will be reviewed individually.
Indexed articles:
Barles, G., Convergence of numerical schemes for degenerate parabolic equations arising in finance theory, 1-21 [Zbl 0898.90015]
Newton, Nigel J., Continuous-time Monte Carlo methods and variance reduction, 22-42 [Zbl 0881.65146]
Broadie, M.; Detemple, J., Recent advances in numerical methods for pricing derivative securities, 43-66 [Zbl 0898.90029]
AitSahlia, F.; Carr, P., American options: A comparison of numerical methods, 67-87 [Zbl 0898.90028]
Joubert, Adriaan; Rogers, L. C. G., Fast, accurate and inelegant valuation of American options, 88-92 [Zbl 0898.90018]
Zhang, Xiaolan, Valuation of American options in a jump-diffusion model, 93-114 [Zbl 0898.90038]
Fournié, E.; Lasry, J. M.; Lions, P. L., Some nonlinear methods for studying far-from-the-money contingent claims, 115-145 [Zbl 0898.90035]
Fournié, E.; Lasry, J. M.; Touzi, N., Monte Carlo methods for stochastic volatility models, 146-164 [Zbl 0898.90034]
Sulem, Agnès, Dynamic optimization for a mixed portfolio with transaction costs, 165-180 [Zbl 0898.90037]
El Karoui, N.; Quenez, M. C., Imperfect markets and backward stochastic differential equations, 181-214 [Zbl 0898.90032]
El Karoui, N.; Pardoux, E.; Quenez, M. C., Reflected backward SDEs and American options, 215-231 [Zbl 0898.90033]
Chevance, D., Numerical methods for backward stochastic differential equations, 232-244 [Zbl 0898.90031]
Tourin, Agnès; Zariphopoulou, Thaleia, Viscosity solutions and numerical schemes for investment/consumption models with transaction costs, 245-269 [Zbl 0898.90024]
Avesani, Renzo G.; Bertrand, Pierre, Does volatility jump or just diffuse? A statistical approach, 270-289 [Zbl 1090.62564]
Bossaerts, Peter; Werker, Bas, Martingale-based hedge error control, 290-304 [Zbl 0898.90045]
Henin, Claude; Pistre, Nathalie, The use of second-order stochastic dominance to bound European call prices: Theory and results, 305-326 [Zbl 0898.90016]

MSC:

00B25	Proceedings of conferences of miscellaneous specific interest
90-06	Proceedings, conferences, collections, etc. pertaining to operations research and mathematical programming

Keywords:

Cambridge (GB); Proceedings; Session; Numerical methods; Finance