Sen, Rituparna; Das, Sourish Computational finance with R. (English) Zbl 1519.91004 Indian Statistical Institute Series. Singapore: Springer (ISBN 978-981-19-2007-3/hbk; 978-981-19-2008-0/ebook). xiii, 353 p. (2023). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91-02 65-02 62-02 91G60 65R20 65M06 65C05 91G20 90C05 62P05 62F15 62D05 62F40 91G10 91-04 PDFBibTeX XMLCite \textit{R. Sen} and \textit{S. Das}, Computational finance with R. Singapore: Springer (2023; Zbl 1519.91004) Full Text: DOI
Muroi, Yoshifumi Computation of Greeks using the discrete Malliavin calculus and binomial tree. (English) Zbl 1503.91009 SpringerBriefs in Statistics. JSS Research Series in Statistics. Singapore: Springer (ISBN 978-981-19-1072-2/pbk; 978-981-19-1073-9/ebook). viii, 106 p. (2022). Reviewer: Paweł Kliber (Poznan) MSC: 91-02 91G20 60H07 60G42 60H35 91G60 PDFBibTeX XMLCite \textit{Y. Muroi}, Computation of Greeks using the discrete Malliavin calculus and binomial tree. Singapore: Springer (2022; Zbl 1503.91009) Full Text: DOI
Gwinner, Joachim; Jadamba, Baasansuren; Khan, Akhtar A.; Raciti, Fabio Uncertainty quantification in variational inequalities. Theory, numerics, and applications. (English) Zbl 1479.49002 Boca Raton, FL: CRC Press (ISBN 978-1-138-62632-4/hbk; 978-1-032-14849-6/pbk; 978-1-315-22896-9/ebook). xviii, 386 p. (2022). Reviewer: Alfred Göpfert (Leipzig) MSC: 49-02 65-02 49J40 65C30 90C15 60-08 90B20 91B50 PDFBibTeX XMLCite \textit{J. Gwinner} et al., Uncertainty quantification in variational inequalities. Theory, numerics, and applications. Boca Raton, FL: CRC Press (2022; Zbl 1479.49002) Full Text: DOI
McComb, Sara; Kennedy, Deanna Computational methods to examine team communication. When and how to change the conversation. (English) Zbl 07150984 Computational Social Sciences. Cham: Springer (ISBN 978-3-030-36158-7/hbk; 978-3-030-36161-7/pbk; 978-3-030-36159-4/ebook). xx, 196 p. (2020). MSC: 65-02 90-02 91-02 PDFBibTeX XMLCite \textit{S. McComb} and \textit{D. Kennedy}, Computational methods to examine team communication. When and how to change the conversation. Cham: Springer (2020; Zbl 07150984) Full Text: DOI
Bagirov, Adil M. (ed.); Gaudioso, Manlio (ed.); Karmitsa, Napsu (ed.); Mäkelä, Marko M. (ed.); Taheri, Sona (ed.) Numerical nonsmooth optimization. State of the art algorithms. (English) Zbl 07150965 Cham: Springer (ISBN 978-3-030-34909-7/hbk; 978-3-030-34912-7/pbk; 978-3-030-34910-3/ebook). xvii, 698 p. (2020). MSC: 65-02 90-02 91-02 68-02 00B15 PDFBibTeX XMLCite \textit{A. M. Bagirov} (ed.) et al., Numerical nonsmooth optimization. State of the art algorithms. Cham: Springer (2020; Zbl 07150965) Full Text: DOI
Dirks, Carolin Maria Numerical methods for transportation networks. (English) Zbl 07178486 Münster: Univ. Münster, Mathematisch-Naturwissenschaftliche Fakultät, Fachbereich Mathematik und Informatik (Diss.). v, 140 p. (2019). MSC: 90-02 91-02 65-02 90B06 90B10 65Kxx PDFBibTeX XMLCite \textit{C. M. Dirks}, Numerical methods for transportation networks. Münster: Univ. Münster, Mathematisch-Naturwissenschaftliche Fakultät, Fachbereich Mathematik und Informatik (Diss.) (2019; Zbl 07178486) Full Text: Link Link
Kassay, Gábor; Rădulescu, Vicenţiu D. Equilibrium problems and applications. (English) Zbl 1448.47005 Mathematics in Science and Engineering. Amsterdam: Elsevier/Academic Press (ISBN 978-0-12-811029-4/pbk; 978-0-12-811030-0/ebook). xx, 419 p. (2018). Reviewer: Valerii V. Obukhovskij (Voronezh) MSC: 47-02 91-02 49-02 47J20 34C25 46N10 47H04 47H10 47J22 49J35 49J40 49J52 49J53 49K35 49K40 49M99 58E30 58E35 90C31 90C33 90C47 91A10 91A40 91B50 91B52 PDFBibTeX XMLCite \textit{G. Kassay} and \textit{V. D. Rădulescu}, Equilibrium problems and applications. Amsterdam: Elsevier/Academic Press (2018; Zbl 1448.47005)
Pagès, Gilles Numerical probability. An introduction with applications to finance. (English) Zbl 1418.91016 Universitext. Cham: Springer (ISBN 978-3-319-90274-6/pbk; 978-3-319-90276-0/ebook). xxi, 579 p. (2018). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91-02 91G60 65C05 91G20 62P05 60G40 65C10 60J65 60H30 PDFBibTeX XMLCite \textit{G. Pagès}, Numerical probability. An introduction with applications to finance. Cham: Springer (2018; Zbl 1418.91016) Full Text: DOI
Luchtenburg, Dirk M. Book review of: J. N. Kutz et al., Dynamic mode decomposition. Data-driven modeling of complex systems. (English) Zbl 1393.00022 SIAM Rev. 60, No. 2, 483 (2018). MSC: 00A17 65C20 65K10 65-02 65P99 37M99 37N99 47A70 93B07 93B30 92D30 92C20 91G10 65Z05 65T60 PDFBibTeX XMLCite \textit{D. M. Luchtenburg}, SIAM Rev. 60, No. 2, 483 (2018; Zbl 1393.00022) Full Text: DOI
Melnikov, Alexander; Nosrati, Amir Equity-linked life insurance. Partial hedging methods. (English) Zbl 1414.91002 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4822-4026-9/hbk; 978-1-4822-4027-6/ebook). x, 201 p. (2018). Reviewer: Pavel Stoynov (Sofia) MSC: 91-02 91G20 91B30 91G60 60J75 60H30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{A. Nosrati}, Equity-linked life insurance. Partial hedging methods. Boca Raton, FL: CRC Press (2018; Zbl 1414.91002) Full Text: Link
Chassagneux, Jean-François; Chotai, Hinesh; Muûls, Mirabelle A forward-backward SDEs approach to pricing in carbon markets. (English) Zbl 1375.91003 SpringerBriefs in Mathematics of Planet Earth. Cham: Springer (ISBN 978-3-319-63114-1/pbk; 978-3-319-63115-8/ebook). vi, 104 p. (2017). MSC: 91-02 91G30 91B74 60H30 91G60 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} et al., A forward-backward SDEs approach to pricing in carbon markets. Cham: Springer (2017; Zbl 1375.91003) Full Text: DOI
Kutz, J. Nathan; Brunton, Steven L.; Brunton, Bingni W.; Proctor, Joshua L. Dynamic mode decomposition. Data-driven modeling of complex systems. (English) Zbl 1365.65009 Other Titles in Applied Mathematics 149. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-1-61197-449-2/pbk). xvi, 234 p. (2016). Reviewer: Seenith Sivasundaram (Daytona Beach) MSC: 65C20 65K10 65-02 65P99 37M99 37N99 47A70 93B07 93B30 92D30 92C20 91G10 65Z05 65T60 PDFBibTeX XMLCite \textit{J. N. Kutz} et al., Dynamic mode decomposition. Data-driven modeling of complex systems. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (2016; Zbl 1365.65009)
Omland, Steffen Mixed precision multilevel Monte Carlo algorithms for reconfigurable computing systems. (English) Zbl 1354.65007 Mathematik. München: Dr. Hut; Kaiserslautern: TU Kaiserslautern, Fachbereich Mathematik (Diss.) (ISBN 978-3-8439-2761-1/pbk). 103 p. (2016). MSC: 65-02 65C05 65C30 65-04 91G60 PDFBibTeX XMLCite \textit{S. Omland}, Mixed precision multilevel Monte Carlo algorithms for reconfigurable computing systems. München: Dr. Hut; Kaiserslautern: TU Kaiserslautern, Fachbereich Mathematik (Diss.) (2016; Zbl 1354.65007)
Yao, Kai Uncertain differential equations. (English) Zbl 1378.60009 Springer Uncertainty Research. Berlin: Springer (ISBN 978-3-662-52727-6/hbk; 978-3-662-52729-0/ebook). xiii, 158 p. (2016). Reviewer: Andrzej Nowak (Katowice) MSC: 60-02 34-02 34F05 65C30 68T37 91B70 60H25 28E10 60H07 60H05 60H10 PDFBibTeX XMLCite \textit{K. Yao}, Uncertain differential equations. Berlin: Springer (2016; Zbl 1378.60009) Full Text: DOI
Gerhart, Christoph A multiple-curve Lévy forward rate model in a two-price economy. (English) Zbl 1342.91001 Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.). 151 p. (2016). MSC: 91-02 91G30 60G51 60H30 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{C. Gerhart}, A multiple-curve Lévy forward rate model in a two-price economy. Freiburg im Breisgau: Univ. Freiburg, Fakultät für Mathematik und Physik (Diss.) (2016; Zbl 1342.91001) Full Text: DOI Link
Joro, Tarja; Korhonen, Pekka J. Extension of data envelopment analysis with preference information. Value efficiency. (English) Zbl 1354.90004 International Series in Operations Research & Management Science 218. New York, NY: Springer (ISBN 978-1-4899-7527-0/hbk; 978-1-4899-7528-7/ebook). xii, 191 p. (2015). Reviewer: Barbara Pekala (Rzeszów) MSC: 90-02 90B50 90C08 91B06 65K05 90C05 90C29 PDFBibTeX XMLCite \textit{T. Joro} and \textit{P. J. Korhonen}, Extension of data envelopment analysis with preference information. Value efficiency. New York, NY: Springer (2015; Zbl 1354.90004) Full Text: DOI
Alfonsi, Aurélien Affine diffusions and related processes: simulation, theory and applications. (English) Zbl 1387.60002 Bocconi & Springer Series 6. Milano: Bocconi University Press; Cham: Springer (ISBN 978-3-319-05220-5/hbk; 978-3-319-05221-2/ebook). xiii, 252 p. (2015). Reviewer: Heinrich Hering (Rockenberg) MSC: 60-02 91-02 60J20 60J70 60H30 91G70 62P05 65C30 91B25 91B70 91G60 PDFBibTeX XMLCite \textit{A. Alfonsi}, Affine diffusions and related processes: simulation, theory and applications. Milano: Bocconi University Press; Cham: Springer (2015; Zbl 1387.60002) Full Text: DOI
Thäle, C. Book review of: T. Müller-Gronbach, E. Novak and K. Ritter, Monte Carlo-Algorithmen. (German) Zbl 1305.00077 Elem. Math. 69, No. 3, 167-168 (2014). MSC: 00A17 65C05 00A72 60G05 65-02 60J22 65C40 91G60 82C80 60J05 60J65 PDFBibTeX XMLCite \textit{C. Thäle}, Elem. Math. 69, No. 3, 167--168 (2014; Zbl 1305.00077) Full Text: DOI Link
Papanicolaou, Andrew Book review: Numerical solution of stochastic differential equations with jumps in finance, by Eckhard Platen and Nicola Bruti-Liberati. (English) Zbl 1281.00015 Quant. Finance 13, No. 9, 1353-1355 (2013). MSC: 00A17 60-02 60H35 65C30 91G60 PDFBibTeX XMLCite \textit{A. Papanicolaou}, Quant. Finance 13, No. 9, 1353--1355 (2013; Zbl 1281.00015) Full Text: DOI
Eberlein, Ernst; Grbac, Zorana; Schmidt, Thorsten Discrete tenor models for credit risky portfolios driven by time-inhomogeneous Lévy processes. (English) Zbl 1290.91174 SIAM J. Financ. Math. 4, 616-649 (2013). Reviewer: Gong Guanglu (Beijing) MSC: 91G40 91G30 60G51 91G20 91-02 60G35 65C30 60H15 PDFBibTeX XMLCite \textit{E. Eberlein} et al., SIAM J. Financ. Math. 4, 616--649 (2013; Zbl 1290.91174) Full Text: DOI arXiv
Kloeden, Peter; Neuenkirch, Andreas Convergence of numerical methods for stochastic differential equations in mathematical finance. (English) Zbl 1277.91194 Gerstner, Thomas (ed.) et al., Recent developments in computational finance. Foundations, algorithms and applications. In part based on the presentations at the international workshop on numerical algorithms in computational finance, Frankfurt/Main, Germany, July 20–22, 2011. Hackensack, NJ: World Scientific (ISBN 978-981-4436-42-7/hbk; 978-981-4436-44-1/ebook). Interdisciplinary Mathematical Sciences 14, 49-80 (2013). MSC: 91G60 60H15 91G80 91-02 PDFBibTeX XMLCite \textit{P. Kloeden} and \textit{A. Neuenkirch}, Interdiscip. Math. Sci. 14, 49--80 (2013; Zbl 1277.91194) Full Text: DOI arXiv
Graham, Carl; Talay, Denis Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation. (English) Zbl 1281.65003 Stochastic Modelling and Applied Probability 68. Berlin: Springer (ISBN 978-3-642-39362-4/hbk; 978-3-642-39363-1/ebook). xvi, 260 p. (2013). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65-02 65C05 65C30 65C20 65C40 65C60 00A72 11K45 60K25 82C80 91G60 60H15 60H35 35R60 60H30 60J05 60J22 PDFBibTeX XMLCite \textit{C. Graham} and \textit{D. Talay}, Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation. Berlin: Springer (2013; Zbl 1281.65003) Full Text: DOI
Crépey, Stéphane Financial modeling. A backward stochastic differential equations perspective. (English) Zbl 1271.91004 Springer Finance Textbooks. Berlin: Springer (ISBN 978-3-642-37112-7/hbk; 978-3-642-37113-4/ebook). xix, 459 p. (2013). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91-02 91G80 91G60 91G20 60H35 60H10 PDFBibTeX XMLCite \textit{S. Crépey}, Financial modeling. A backward stochastic differential equations perspective. Berlin: Springer (2013; Zbl 1271.91004) Full Text: DOI
Pfaff, Bernhard Financial risk modelling and portfolio optimization with R. (English) Zbl 1275.91006 Statistics in Practice. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-97870-2/hbk; 978-1-118-47712-0/ebook). xvi, 356 p. (2013). Reviewer: Tamás Mátrai (Budapest) MSC: 91-02 91G10 62P05 62M10 91B70 91B84 91G60 91G70 PDFBibTeX XMLCite \textit{B. Pfaff}, Financial risk modelling and portfolio optimization with R. Hoboken, NJ: John Wiley \& Sons (2013; Zbl 1275.91006)
Yener, Serkan Nonparametric estimation of the jump component in financial time series. (English) Zbl 1292.91004 München: Univ. München, Fakultät für Mathematik, Informatik und Statistik (Diss.). viii, 144 p. (2012). MSC: 91-02 91G70 91B84 60G51 60J75 62M10 62G05 62G07 62G08 62P05 65T60 PDFBibTeX XMLCite \textit{S. Yener}, Nonparametric estimation of the jump component in financial time series. München: Univ. München, Fakultät für Mathematik, Informatik und Statistik (Diss.) (2012; Zbl 1292.91004) Full Text: Link
Tadmor, Eitan A review of numerical methods for nonlinear partial differential equations. (English) Zbl 1258.65073 Bull. Am. Math. Soc., New Ser. 49, No. 4, 507-554 (2012). MSC: 65Mxx 65-02 35K55 65L70 90B20 91G60 PDFBibTeX XMLCite \textit{E. Tadmor}, Bull. Am. Math. Soc., New Ser. 49, No. 4, 507--554 (2012; Zbl 1258.65073) Full Text: DOI
Wang, Hui Monte Carlo simulation with applications to finance. (English) Zbl 1258.65005 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4398-5824-0/hbk). ix, 282 p. (2012). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65C05 91G60 65C10 68U20 65C30 91B02 91B70 11K06 11K45 91B30 91G10 60H10 60H05 60H35 65-02 PDFBibTeX XMLCite \textit{H. Wang}, Monte Carlo simulation with applications to finance. Boca Raton, FL: CRC Press (2012; Zbl 1258.65005)
Müller-Gronbach, Thomas; Novak, Erich; Ritter, Klaus Monte Carlo algorithms. (Monte Carlo-Algorithmen.) (German) Zbl 1254.65012 Springer-Lehrbuch. Berlin: Springer (ISBN 978-3-540-89140-6/pbk; 978-3-540-89141-3/ebook). ix, 324 p. (2012). Reviewer: Reinhold Kainhofer (Wien) MSC: 65C05 00A72 60G05 65-02 60J22 65C40 91G60 82C80 60J05 60J65 PDFBibTeX XMLCite \textit{T. Müller-Gronbach} et al., Monte Carlo-Algorithmen. Berlin: Springer (2012; Zbl 1254.65012) Full Text: DOI
Kremer, Jürgen Portfolio theory, risk management and the evaluation of derivatives. 2nd completely revised and extended ed. (Portfoliotheorie, Risikomanagement und die Bewertung von Derivaten.) (German) Zbl 1235.91004 Springer-Lehrbuch. Berlin: Springer (ISBN 978-3-642-20867-6/pbk; 978-3-642-20868-3/ebook). xvi, 471 p. (2011). Reviewer: Stefan Gerhold (Vienna) MSC: 91-02 91G10 91G20 91G60 60H05 60G42 60H30 91B70 PDFBibTeX XMLCite \textit{J. Kremer}, Portfoliotheorie, Risikomanagement und die Bewertung von Derivaten. 2nd completely revised and extended ed. Berlin: Springer (2011; Zbl 1235.91004) Full Text: DOI
Holtz, Markus Sparse grid quadrature in high dimensions with applications in finance and insurance. (English) Zbl 1221.65080 Lecture Notes in Computational Science and Engineering 77. Berlin: Springer (ISBN 978-3-642-16003-5/hbk; 978-3-642-26563-1/pbk; 978-3-642-16004-2/ebook). viii, 182 p. (2011). Reviewer: Vladimir Gorbunov (Ul’yanovsk) MSC: 65D32 91G60 91B30 65-02 41A55 41A63 PDFBibTeX XMLCite \textit{M. Holtz}, Sparse grid quadrature in high dimensions with applications in finance and insurance. Berlin: Springer (2011; Zbl 1221.65080) Full Text: DOI
Pachamanova, Dessilava A.; Fabozzi, Frank J. Simulation and optimization in finance. Modeling with MATLAB, @RISK, or VBA. (English) Zbl 1217.91002 The Frank J. Fabozzi Series. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-37189-3/hbk). xvii, 766 p. (2010). Reviewer: Pavel Stoynov (Sofia) MSC: 91-02 91G60 91G10 91G20 90C90 65C05 65C10 60H35 00A71 PDFBibTeX XMLCite \textit{D. A. Pachamanova} and \textit{F. J. Fabozzi}, Simulation and optimization in finance. Modeling with MATLAB, \@RISK, or VBA. Hoboken, NJ: John Wiley \& Sons (2010; Zbl 1217.91002)
Abrams, Jay B. Quantitative business valuation. A mathematical approach for today’s professionals. 2nd ed. (English) Zbl 1213.91004 Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-39016-0/hbk). xxviii, 636 p. (2010). Reviewer: Christina Diakaki (Chania) MSC: 91-02 91B82 91B84 91G60 00A71 PDFBibTeX XMLCite \textit{J. B. Abrams}, Quantitative business valuation. A mathematical approach for today's professionals. 2nd ed. Hoboken, NJ: John Wiley \& Sons (2010; Zbl 1213.91004)
Antoine, Jean-Pierre; Trapani, Camillo The partial inner product space method: a quick overview. (English) Zbl 1208.46022 Adv. Math. Phys. 2010, Article ID 457635, 37 p. (2010). MSC: 46C50 46-02 60G35 91A28 94A12 65T60 PDFBibTeX XMLCite \textit{J.-P. Antoine} and \textit{C. Trapani}, Adv. Math. Phys. 2010, Article ID 457635, 37 p. (2010; Zbl 1208.46022) Full Text: DOI EuDML
Platen, Eckhard; Bruti-Liberati, Nicola Numerical solution of stochastic differential equations with jumps in finance. (English) Zbl 1225.60004 Stochastic Modelling and Applied Probability 64. Berlin: Springer (ISBN 978-3-642-12057-2/hbk). xxviii, 856 p. (2010). Reviewer: H. M. Mai (Berlin) MSC: 60-02 60H35 65C30 91G60 PDFBibTeX XMLCite \textit{E. Platen} and \textit{N. Bruti-Liberati}, Numerical solution of stochastic differential equations with jumps in finance. Berlin: Springer (2010; Zbl 1225.60004) Full Text: DOI Link
Korn, Ralf; Korn, Elke; Kroisandt, Gerald Monte Carlo methods and models in finance and insurance. (English) Zbl 1196.91006 Chapman & Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4200-7618-9/hbk; 978-1-032-47769-5/pbk; 978-1-4200-7619-6/ebook). xiii, 470 p. (2010). Reviewer: Jaromir Antoch (Praha) MSC: 91-02 65-02 65C05 91G60 PDFBibTeX XMLCite \textit{R. Korn} et al., Monte Carlo methods and models in finance and insurance. Boca Raton, FL: CRC Press (2010; Zbl 1196.91006) Full Text: DOI
Lutz, Björn Pricing of derivatives on mean-reverting assets. (English) Zbl 1177.91004 Lecture Notes in Economics and Mathematical Systems 630. Berlin: Springer (ISBN 978-3-642-02908-0/pbk; 978-3-642-02909-7/ebook). xviii, 137 p. (2010). MSC: 91-02 91B25 91G20 60H30 91G60 PDFBibTeX XMLCite \textit{B. Lutz}, Pricing of derivatives on mean-reverting assets. Berlin: Springer (2010; Zbl 1177.91004) Full Text: DOI
Koop, Gary; Korobilis, Dimitris Bayesian multivariate time series methods for empirical macroeconomics. (English) Zbl 1193.91117 Found. Trends Econom. 3, No. 4, 267-358 (2009). MSC: 91B84 62F15 65C40 62P20 91-02 PDFBibTeX XMLCite \textit{G. Koop} and \textit{D. Korobilis}, Found. Trends Econom. 3, No. 4, 267--358 (2009; Zbl 1193.91117) Full Text: DOI
Staum, Jeremy Monte Carlo computation in finance. (English) Zbl 1182.91206 L’ Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008. Berlin: Springer (ISBN 978-3-642-04106-8/hbk). 19-42 (2009). MSC: 91G60 65C05 91-02 PDFBibTeX XMLCite \textit{J. Staum}, in: Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6--11, 2008. Berlin: Springer. 19--42 (2009; Zbl 1182.91206) Full Text: DOI
Giles, Michael B.; Waterhouse, Benjamin J. Multilevel quasi-Monte Carlo path simulation. (English) Zbl 1181.91335 Albrecher, Hansjörg (ed.) et al., Advanced financial modelling. Berlin: Walter de Gruyter (ISBN 978-3-11-021313-3/hbk; 978-3-11-021314-0/ebook). Radon Series on Computational and Applied Mathematics 8, 165-181 (2009). MSC: 91G60 91G20 60H10 60H35 65C05 65C30 91-02 PDFBibTeX XMLCite \textit{M. B. Giles} and \textit{B. J. Waterhouse}, Radon Ser. Comput. Appl. Math. 8, 165--181 (2009; Zbl 1181.91335)
Avikainen, Rainer On generalized bounded variation and approximation of SDEs. (English) Zbl 1183.60021 Report. University of Jyväskylä. Department of Mathematics and Statistics 121. Jyväskylä: University of Jyväskylä, Department of Mathematics and Statistics (Diss.) (ISBN 978-951-39-3705-8/pbk). not consecutively paged. (2009). MSC: 60H10 60-02 41A25 65C20 65C30 91G20 PDFBibTeX XMLCite \textit{R. Avikainen}, On generalized bounded variation and approximation of SDEs. Jyväskylä: University of Jyväskylä, Department of Mathematics and Statistics (Diss.) (2009; Zbl 1183.60021) Full Text: Link
Papageorgiou, Nikolaos S.; Kyritsi-Yiallourou, Sophia Th. Handbook of applied analysis. (English) Zbl 1189.49003 Advances in Mechanics and Mathematics 19. New York, NY: Springer (ISBN 978-0-387-78906-4/hbk; 978-0-387-78907-1/ebook). xvii, 783 p. (2009). Reviewer: Rita Pini (Milano) MSC: 49-02 65-01 34G20 35-02 91-01 90-01 47N10 58C20 91A10 PDFBibTeX XMLCite \textit{N. S. Papageorgiou} and \textit{S. Th. Kyritsi-Yiallourou}, Handbook of applied analysis. New York, NY: Springer (2009; Zbl 1189.49003) Full Text: DOI Link
Rouis, Moeiz Partial differential equations in finance. Inverse problems and model calibration. (Équations aux dérivées partielles en finance. Problèmes inverses et calibration de modèle.) (French) Zbl 1409.35006 Paris: École Polytechnique (Diss.). 120 p. (2007). MSC: 35-02 35Q91 60H15 91G60 35R30 PDFBibTeX XMLCite \textit{M. Rouis}, Équations aux dérivées partielles en finance. Problèmes inverses et calibration de modèle. Paris: École Polytechnique (Diss.) (2007; Zbl 1409.35006) Full Text: HAL
Dagpunar, J. S. Simulation and Monte Carlo: With applications in finance and MCMC. (English) Zbl 1117.65006 Chichester: John Wiley & Sons (ISBN 978-0-470-85495-2/pbk; 978-0-470-85494-5/hbk; 978-0-470-06133-6/ebook). xiv, 333 p. (2007). Reviewer: Vassil Grozdanov (Blagoevgrad) MSC: 65Cxx 60J05 11K06 11K45 60E05 60J10 65-02 60K25 60J22 91G60 62J10 62E10 PDFBibTeX XMLCite \textit{J. S. Dagpunar}, Simulation and Monte Carlo: With applications in finance and MCMC. Chichester: John Wiley \& Sons (2007; Zbl 1117.65006) Full Text: DOI
Furati, K. M.; Manchanda, P.; Ahmad, M. K.; Siddiqi, A. H. Trends in wavelet applications. (English) Zbl 1144.65324 Furati, K. M. (ed.) et al., Mathematical models and methods for real world systems. Boca Raton, FL: Chapman & Hall/CRC (ISBN 0-8493-3743-7/hbk). Pure and Applied Mathematics (Boca Raton) 272, 125-177 (2006). MSC: 65T60 42C40 65-02 94A08 65N30 35J05 65K10 91G60 65M60 PDFBibTeX XMLCite \textit{K. M. Furati} et al., Pure Appl. Math. (Boca Raton) 272, 125--177 (2006; Zbl 1144.65324)
Larichev, O. I. Verbal analysis of decisions. (Verbal’nyj analiz reshenij.) (Russian) Zbl 1140.90029 Moskva: Nauka (ISBN 5-02-033979-2/hbk). 181 p. (2006). Reviewer: Neculai Curteanu (Iaşi) MSC: 90B50 91B06 90-02 91-02 PDFBibTeX XMLCite \textit{O. I. Larichev}, Verbal'nyj analiz reshenij (Russian). Moskva: Nauka (2006; Zbl 1140.90029)
Benzi, Michele; Golub, Gene H.; Liesen, Jörg Numerical solution of saddle point problems. (English) Zbl 1115.65034 Acta Numerica 14, 1-137 (2005). Reviewer: Adhemar Bultheel (Leuven) MSC: 65F10 65F50 65F05 65F35 65-02 94A08 91G60 PDFBibTeX XMLCite \textit{M. Benzi} et al., Acta Numerica 14, 1--137 (2005; Zbl 1115.65034) Full Text: DOI
McLeish, Don L. Monte Carlo simulation and finance. (English) Zbl 1117.91033 Hoboken, NJ: John Wiley & Sons (ISBN 978-0-471-67778-9/hbk). xi, 387 p. (2005). Reviewer: Malgorzata Doman (Poznań) MSC: 91-02 91G60 65C05 65C30 60H35 60H30 PDFBibTeX XMLCite \textit{D. L. McLeish}, Monte Carlo simulation and finance. Hoboken, NJ: John Wiley \& Sons (2005; Zbl 1117.91033)
Engl, Heinz W.; Kügler, Philipp Nonlinear inverse problems: theoretical aspects and some industrial applications. (English) Zbl 1069.65061 Capasso, Vincenzo (ed.) et al., Multidisciplinary methods for analysis optimization and control of complex systems. Lectures of the summer school Jacques Louis Lions, Montecatini, Italy, March 17–22, 2003. Berlin: Springer (ISBN 3-540-22310-X/hbk). Mathematics in Industry 7. The European Consortium for Mathematics in Industry, 3-47 (2004). MSC: 65J15 65J20 65J22 47J06 90B30 91G60 65-02 65R20 45B05 PDFBibTeX XMLCite \textit{H. W. Engl} and \textit{P. Kügler}, Math. Ind. 7, 3--47 (2004; Zbl 1069.65061)
Bouleau, Nicolas Error calculus for finance and physics. The language of Dirichlet forms. (English) Zbl 1110.60001 De Gruyter Expositions in Mathematics 37. Berlin: de Gruyter (ISBN 3-11-018036-7/hbk). x, 234 p. (2004). Reviewer: Alexander Schied (Berlin) MSC: 60-02 60H10 60J60 65C30 65G99 82B31 91G80 91G20 PDFBibTeX XMLCite \textit{N. Bouleau}, Error calculus for finance and physics. The language of Dirichlet forms. Berlin: de Gruyter (2004; Zbl 1110.60001) Full Text: DOI
Shreve, Steven E. Stochastic calculus for finance. II: Continuous-time models. (English) Zbl 1068.91041 Springer Finance. New York, NY: Springer (ISBN 0-387-40101-6/hbk). xix, 550 p. (2004). Reviewer: Neculai Curteanu (Iaşi) MSC: 91-02 91Gxx 60H30 91G20 91G60 PDFBibTeX XMLCite \textit{S. E. Shreve}, Stochastic calculus for finance. II: Continuous-time models. New York, NY: Springer (2004; Zbl 1068.91041)
Shreve, Steven E. Stochastic calculus for finance. I: The binomial asset pricing model. (English) Zbl 1068.91040 Springer Finance. New York, NY: Springer (ISBN 0-387-40100-8/hbk; 0-387-24968-0/pbk). xv, 187 p. (2004). Reviewer: Neculai Curteanu (Iaşi) MSC: 91-02 91Gxx 60H30 91G20 91G60 PDFBibTeX XMLCite \textit{S. E. Shreve}, Stochastic calculus for finance. I: The binomial asset pricing model. New York, NY: Springer (2004; Zbl 1068.91040)
Hörmann, Wolfgang; Leydold, Josef; Derflinger, Gerhard Automatic nonuniform random variate generation. (English) Zbl 1038.65002 Statistics and Computing (Cham). Berlin: Springer (ISBN 3-540-40652-2/hbk; 978-3-642-07372-4/pbk). x, 441 p. (2004). Reviewer: Jaroslav Král’ (Praha) MSC: 65C10 65-02 65C60 62M10 65C05 65C40 60J22 91G60 62C10 PDFBibTeX XMLCite \textit{W. Hörmann} et al., Automatic nonuniform random variate generation. Berlin: Springer (2004; Zbl 1038.65002)
Glasserman, Paul Monte Carlo methods in financial engineering. (English) Zbl 1038.91045 Applications of Mathematics 53. New York, NY: Springer (ISBN 0-387-00451-3/hbk). xiii, 596 p. (2004). Reviewer: Radu Theodorescu (Quebec) MSC: 91-02 91G60 65C05 65C10 62P05 91B62 91B70 PDFBibTeX XMLCite \textit{P. Glasserman}, Monte Carlo methods in financial engineering. New York, NY: Springer (2004; Zbl 1038.91045)
Günther, Michael; Jüngel, Ansgar Financial derivatives with MATLAB. Mathematical modelling and numerical simulation. (Finanzderivate mit MATLAB. Mathematische Modellierung und numerische Simulation.) (German) Zbl 1042.91043 Wiesbaden: Vieweg (ISBN 3-528-03204-9/pbk). xi, 302 S. (2003). Reviewer: Klaus Schürger (Bonn) MSC: 91G20 91G60 60H25 91-02 00A06 91-01 PDFBibTeX XMLCite \textit{M. Günther} and \textit{A. Jüngel}, Finanzderivate mit MATLAB. Mathematische Modellierung und numerische Simulation. Wiesbaden: Vieweg (2003; Zbl 1042.91043)
Gentle, James E. Random number generation and Monte Carlo methods. (English) Zbl 1028.65004 Statistics and Computing (Cham). New York, NY: Springer. xv, 381 p. (2003). Reviewer: Evelyn Buckwar (Berlin) MSC: 65C10 65-02 65C05 11K45 60H35 65C30 91G60 PDFBibTeX XMLCite \textit{J. E. Gentle}, Random number generation and Monte Carlo methods. New York, NY: Springer (2003; Zbl 1028.65004)
Tezuka, Shu Quasi-Monte Carlo – discrepancy between theory and practice. (English) Zbl 1012.11068 Fang, Kai-Tai (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2000. Proceedings of a conference, held at Hong Kong Baptist Univ., Hong Kong SAR, China, November 27 - December 1, 2000. Berlin: Springer. 124-140 (2002). Reviewer: Harald Niederreiter (Singapore) MSC: 11K45 65C05 11-02 91G60 65-02 65D30 PDFBibTeX XMLCite \textit{S. Tezuka}, in: Monte Carlo and quasi-Monte Carlo methods 2000. Proceedings of a conference, held at Hong Kong Baptist Univ., Hong Kong SAR, China, November 27 -- December 1, 2000. Berlin: Springer. 124--140 (2002; Zbl 1012.11068)
Korn, Ralf; Korn, Elke Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. (English) Zbl 0965.91020 Graduate Studies in Mathematics. 31. Providence, RI: American Mathematical Society (AMS). xiv, 253 p. (2001). Reviewer: T.Postelnicu (Bucureşti) MSC: 91-02 91G10 91G20 91G60 91G80 62P05 93E20 60G44 60H05 60H30 PDFBibTeX XMLCite \textit{R. Korn} and \textit{E. Korn}, Option pricing and portfolio optimization. Modern methods of financial mathematics. Transl. from the German by the authors. Providence, RI: AMS, American Mathematical Society (2001; Zbl 0965.91020)
Chazelle, Bernard The discrepancy method. Randomness and complexity. (English) Zbl 0960.65149 Cambridge: Cambridge University Press. xviii, 463 p. (2000). Reviewer: Neculai Curteanu (Iaşi) MSC: 65Y20 68-02 65-02 68T05 68T20 65C50 68Q25 68U05 90C05 65K05 91G60 PDFBibTeX XMLCite \textit{B. Chazelle}, The discrepancy method. Randomness and complexity. Cambridge: Cambridge University Press (2000; Zbl 0960.65149)
Bauwens, Luc; Lubrano, Michel; Richard, Jean-François [Drèze, Jacques H.] Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze. (English) Zbl 0986.62101 Advanced Texts in Econometrics. Oxford: Oxford University Press. xvi, 350 p. (1999). Reviewer: Herbert S.Buscher (Mannheim) MSC: 62P20 62-02 62F15 91B84 PDFBibTeX XMLCite \textit{L. Bauwens} et al., Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze. Oxford: Oxford University Press (1999; Zbl 0986.62101)
Kolbin, V. V. Systems optimization methodology. (English) Zbl 1147.90300 Singapore: World Scientific (ISBN 981-02-1589-4). 500 p. (1995). MSC: 90-02 65-02 93-02 91-02 90C29 PDFBibTeX XMLCite \textit{V. V. Kolbin}, Systems optimization methodology. Singapore: World Scientific (1995; Zbl 1147.90300)
Groenen, Patrick J. F. The majorization approach to multidimensional scaling. Some problems and extensions. (English) Zbl 0898.62080 M & T Series. 26. Leiden: DSWO Press. x, 156 p. (1993). Reviewer: Ivan Křivý (Ostrava) MSC: 62H99 62-02 91C15 90C29 65K10 PDFBibTeX XMLCite \textit{P. J. F. Groenen}, The majorization approach to multidimensional scaling. Some problems and extensions. Leiden: DSWO Press (1993; Zbl 0898.62080)
Bittanti, Sergio (ed.); Laub, Alan J. (ed.); Willems, Jan C. (ed.) [Ammar, Gregory; Başar, Tamer; Bitmead, Robert R.; Bittani, Sergio; Callier, Frank M.; Colerani, Patrizio; De Nicolao, Giuseppe; Gevers, Michael; Kučera, Vladimír; Lancaster, Peter; Laub, Alan J.; Martin, Clyde F.; Rodman, Leiba; Shayman, Mark A.; Trentelman, H. L.; Willems, Jacques L.; Willems, Jan C.] The Riccati equation. (English) Zbl 0734.34004 Communications and Control Engineering Series. Berlin etc.: Springer- Verlag. x, 338 p. DM 158.00/hbk (1991). Reviewer: W.Müller (Berlin) MSC: 34-02 34A05 34A26 34C25 15A24 65F15 65F30 91A23 00B15 01A50 49J15 93B25 93B36 93C05 93C55 93D10 93D15 93E11 PDFBibTeX XMLCite \textit{S. Bittanti} (ed.) et al., The Riccati equation. Berlin etc.: Springer-Verlag (1991; Zbl 0734.34004)
Morrison, Foster The art of modeling dynamic systems. Forecasting for chaos, randomness, and determinism. (English) Zbl 0743.34003 A Wiley-Interscience Publication. New York etc.: John Wiley & Sons, Inc. xvii, 387 p. (1991). Reviewer: N.C.Mohanty (Huntington Beach) MSC: 34-02 90-02 34F05 37-XX 60H10 91B74 PDFBibTeX XMLCite \textit{F. Morrison}, The art of modeling dynamic systems. Forecasting for chaos, randomness, and determinism. New York etc.: John Wiley \&| Sons, Inc. (1991; Zbl 0743.34003)
Uryas’ev, S. P. Ermol’ev, Yu. M. (ed.) Adaptive algorithms of stochastic optimization and game theory. (Adaptivnye algoritmy stokhasticheskoj optimizatsii i teorii igr). Ed. by Yu. M. Ermol’ev. (Adaptivnye algoritmy stokhasticheskoj optimizatsii i teorii igr.) (Russian. English summary) Zbl 0709.90073 Moskva: Nauka. 184 p. R. 2.20 (1990). Reviewer: J.Dupačova MSC: 90C15 91A40 90-02 65K05 90-08 49J52 49J40 PDFBibTeX XMLCite \textit{S. P. Uryas'ev} and \textit{Yu. M. Ermol'ev} (ed.), Adaptivnye algoritmy stokhasticheskoj optimizatsii i teorii igr (Russian). Ed. by Yu. M. Ermol'ev. Moskva: Nauka (1990; Zbl 0709.90073)
Polak, E. Basics of minimax algorithms. (English) Zbl 0777.90061 Nonsmooth optimization and related topics, Proc. 4th Course Int. Sch. Math., Erice/Italy 1988, Ettore Majorana Int. Sci. Ser., Phys. Sci. 43, 343-369 (1989). MSC: 90C30 49J52 65K05 91A05 90-08 90-02 PDFBibTeX XMLCite \textit{E. Polak}, in: Compactness and boundedness for a class of concave-convex functions. . 343--369 (1989; Zbl 0777.90061)
Devroye, Luc Non-uniform random variate generation. (English) Zbl 0593.65005 New York etc.: Springer-Verlag. XVI, 843 p. DM 164.00 (1986). Reviewer: K.Uosaki MSC: 65C10 65-02 65C99 62H12 62G05 68U99 91B99 90B99 PDFBibTeX XML
Schubert, Leo Lösungsansätze der mehrdimensionalen Skalierung mit Berücksichtigung unterschiedlicher Datenniveaus. (Solution concepts of multidimensional scaling taking different data levels into consideration.). (German) Zbl 0574.90052 Quantitative Methoden der Unternehmungsplanung, 21. Königstein/Ts.: Verlag Anton Hain. VIII, 173 S. DM 48.00 (1985). Reviewer: P.Reichensperger MSC: 90B99 65F35 91B82 90-02 PDFBibTeX XML
Müller, Paul Entscheidungstheoretisch begründete Schätzverfahren. (Estimation methods based on decision theory). (German) Zbl 0599.62087 Mathematical Systems in Economics, 88. Königstein/Ts.: Verlagsgruppe Athenäum/Hain/Hanstein. IX, 213 p. DM 38.00 (1984). MSC: 62J07 62P20 62-02 62H12 91B84 PDFBibTeX XML
Aubin, Jean-Pierre L’analyse non linéare et ses motivations économiques. (French) Zbl 0551.90001 Collection Mathématiques Appliquées pour la Maîtrise. Paris etc.: Masson. X, 214 p. FF 115.00 (1984). Reviewer: W.Pauwels MSC: 91B50 90C25 91A12 91A05 90-02 91B62 90C55 90C30 65H10 49-02 91A10 PDFBibTeX XML
Shevchuk, L. V. Methodological questions on optimal variants choice in production development. (Voprosy metodologii optimal’nogo vybora variantov razvitiya proizvodstva). (Russian) Zbl 0495.90002 Akademiya Nauk Belorusskoj SSR. Institut Ehkonomiki. Minsk: “Nauka i Tekhnika”. 136 p. R. 0.40 (1981). MSC: 91B60 62P20 90-02 90C90 91B38 91B66 90C05 90C30 65K05 91B82 91B84 PDFBibTeX XML
Reidiess, Joachim Direkte Simulation mehrdimensionaler Markoff’scher Systeme. (German) Zbl 0472.93002 Beiträge zur Datenverarbeitung und Unternehmensforschung, Bd. 24. Königstein/Ts.: Verlag Anton Hain Meisenheim GmbH. XI, 251 S. DM 68.00 (1980). MSC: 93-02 68-02 93E03 93E25 91B76 60K25 60J10 PDFBibTeX XML
Lasdon, Leon S.; Waren, Allan D. Survey of nonlinear programming applications. (English) Zbl 0447.90090 Oper. Res. 28, 1029-1073 (1980). MSC: 90C90 90-02 91B99 90B10 91B84 90B20 90C30 90C08 65K05 PDFBibTeX XMLCite \textit{L. S. Lasdon} and \textit{A. D. Waren}, Oper. Res. 28, 1029--1073 (1980; Zbl 0447.90090) Full Text: DOI
Golenko, D. I.; Lauenroth, H.-G.; Schultze, H.; Schulze, G. Kybernetik zur Steuerung ökonomischer Prozesse. Grundlagen und Anwendungen. (German) Zbl 0362.90001 Elektronisches Rechnen und Regeln. Bd. 12. Berlin: Akademie-Verlag. VIII, 224 S. m. 89 Abb. u. 40 Tab.; M 35.00 (1977). MSC: 90-02 91B60 90B99 65J99 PDFBibTeX XML
Aschinger, Gerhard A. Stabilitätsaussagen über Klassen von Matrizen mit verschwindenden Zeilensummen. (German) Zbl 0312.65004 Lecture Notes in Economics and Mathematical Systems. 113. Berlin-Heidelberg-New York: Springer-Verlag. V, 102 S. DM 18.00 (1975). MSC: 65-02 65L05 34D20 34D35 93C15 93D05 65L15 91Bxx 93D99 34-04 PDFBibTeX XML
Lions, J. L. (ed.); Marchouk, G. I. (ed.) [Kuznetsov, Yu. A.; Bensoussan, A.; Temam, R.; Lemonnier, P.] Sur les méthodes numériques en sciences physiques et economiques. (French) Zbl 0332.65040 Methodes Mathematiques de l’Informatique. 4. Paris: Dunod. XII, 298 p. F 190.00 (1974). MSC: 65J05 65F10 65-02 65M99 65N99 65K05 91Bxx 49Mxx PDFBibTeX XML
Kleijnen, Jack P. C. Statistical techniques in simulation. Part I. (English) Zbl 0316.65002 Statistics: Textbooks and Monographs. Vol. 9. New York: Marcel Dekker, Inc. XV, 285 p. $ 18.50 (1974). MSC: 65C99 65C05 68U20 65-02 65K05 91B60 62M10 PDFBibTeX XML