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The Resource Novel methods in computational finance, Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten, editors

Novel methods in computational finance, Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten, editors

Label
Novel methods in computational finance
Title
Novel methods in computational finance
Statement of responsibility
Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten, editors
Contributor
Subject
Language
eng
Member of
Cataloging source
YDX
Dewey number
332
Index
index present
LC call number
HG176.7
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Ehrhardt, Matthias
  • Günther, Michael
  • Ter Maten, E. Jan W
Series statement
Mathematics in industry
Series volume
25
http://library.link/vocab/subjectName
Financial engineering
Label
Novel methods in computational finance, Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten, editors
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Foreword; Preface; Contents; Contributors; Part I Modelling; 1 Nonlinear Parabolic Equations Arising in Mathematical Finance; 1.1 Nonlinear Generalization of the Black-Scholes Equation for Pricing Financial Instruments; 1.2 Nonlinear Hamilton-Jacobi-Bellman Equation and Optimal Allocation Problems; 1.3 Existence of Classical Solutions, Comparison Principle; 1.4 Numerical Full Space-Time Discretization Scheme for Solving the Gamma Equation; 1.5 Numerical Results for the Nonlinear Model with Variable Transaction Costs; References; 2 Modeling of Herding and Wealth Distribution in Large Markets
  • 2.1 Introduction2.2 A Cross-Diffusion Herding Model; 2.2.1 Existence of Solutions; 2.2.2 Bifurcation Analysis; 2.3 A Kinetic Model with Irrationality and Herding; 2.3.1 Public Information and Herding; 2.3.2 Grazing Collision Limit; 2.3.3 Existence of Weak Solutions; 2.3.4 Numerical Simulations; 2.4 A Kinetic Model with Wealth and Knowledge Exchanges; 2.4.1 Existence of Solutions; 2.4.2 Numerical Simulations; References; 3 Indifference Pricing in a Market with Transaction Costsand Jumps; 3.1 Introduction; 3.2 The Model; 3.2.1 Portfolio Dynamics; 3.2.2 Utility Maximization
  • 3.2.3 Indifference Price3.2.4 Variable Reduction; 3.3 The Algorithm; 3.4 Numerical Results; 3.4.1 Brownian Motion; 3.4.2 Variance Gamma; References; 4 Negative Rates: New Market Practice; 4.1 Introduction; 4.1.1 Bachelier Model; 4.1.2 Displaced Diffusion Model: Shifted Lognormal Model; 4.2 The Free Boundary SABR Model; 4.2.1 The Parameters; 4.2.2 Applicability; 4.3 Approximation Formulae; 4.3.1 Approximation 1; 4.3.2 Approximation 2; 4.4 Numerical Results; 4.4.1 Approximations vs Integration; 4.4.2 Calibration; 4.5 Conclusions; References; 5 Accurate Vega Calculation for Bermudan Swaptions
  • 5.1 Financial Models and Algorithmic Differentiation5.1.1 Financial Models and Sensitivities; 5.1.1.1 Evaluating Sensitivities; 5.1.2 Algorithmic Differentiation at a Glance; 5.2 Pricing Bermudan Swaptions with a Hull White Model; 5.2.1 Market Formulas for European Swaptions; 5.2.2 Analytical Pricing Formulas for the Hull White Model; 5.2.3 Pricing Bermudan Swaptions; 5.3 Pricing and Vega Calculation Example; 5.3.1 Implementation and Computational Costs; References; 6 Modelling and Calibration of Stochastic Correlation in Finance; 6.1 Introduction; 6.2 Stochastic Correlation Models
  • 6.3 A General Stochastic Correlation Process6.3.1 The Transformed Mean-Reverting Process; 6.3.2 The van Emmerich's Correlation Model; 6.3.3 The Transformed Modified Ornstein-Uhlenbeck Process; 6.4 Calibration Via Density Function; 6.4.1 Transition Density Function; 6.4.2 Calibration; 6.5 Pricing Quantos with Stochastic Correlation; 6.6 Numerical Results; 6.7 Conclusions; References; Part II Analysis; 7 Lie Group Analysis of Nonlinear Black-Scholes Models; 7.1 Economical Setting of the Optimization Problem for a Portfolio with an Illiquid Asset with a Given Liquidation Time Distribution
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319612812
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote
System control number
on1004717197
Label
Novel methods in computational finance, Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten, editors
Publication
Copyright
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Foreword; Preface; Contents; Contributors; Part I Modelling; 1 Nonlinear Parabolic Equations Arising in Mathematical Finance; 1.1 Nonlinear Generalization of the Black-Scholes Equation for Pricing Financial Instruments; 1.2 Nonlinear Hamilton-Jacobi-Bellman Equation and Optimal Allocation Problems; 1.3 Existence of Classical Solutions, Comparison Principle; 1.4 Numerical Full Space-Time Discretization Scheme for Solving the Gamma Equation; 1.5 Numerical Results for the Nonlinear Model with Variable Transaction Costs; References; 2 Modeling of Herding and Wealth Distribution in Large Markets
  • 2.1 Introduction2.2 A Cross-Diffusion Herding Model; 2.2.1 Existence of Solutions; 2.2.2 Bifurcation Analysis; 2.3 A Kinetic Model with Irrationality and Herding; 2.3.1 Public Information and Herding; 2.3.2 Grazing Collision Limit; 2.3.3 Existence of Weak Solutions; 2.3.4 Numerical Simulations; 2.4 A Kinetic Model with Wealth and Knowledge Exchanges; 2.4.1 Existence of Solutions; 2.4.2 Numerical Simulations; References; 3 Indifference Pricing in a Market with Transaction Costsand Jumps; 3.1 Introduction; 3.2 The Model; 3.2.1 Portfolio Dynamics; 3.2.2 Utility Maximization
  • 3.2.3 Indifference Price3.2.4 Variable Reduction; 3.3 The Algorithm; 3.4 Numerical Results; 3.4.1 Brownian Motion; 3.4.2 Variance Gamma; References; 4 Negative Rates: New Market Practice; 4.1 Introduction; 4.1.1 Bachelier Model; 4.1.2 Displaced Diffusion Model: Shifted Lognormal Model; 4.2 The Free Boundary SABR Model; 4.2.1 The Parameters; 4.2.2 Applicability; 4.3 Approximation Formulae; 4.3.1 Approximation 1; 4.3.2 Approximation 2; 4.4 Numerical Results; 4.4.1 Approximations vs Integration; 4.4.2 Calibration; 4.5 Conclusions; References; 5 Accurate Vega Calculation for Bermudan Swaptions
  • 5.1 Financial Models and Algorithmic Differentiation5.1.1 Financial Models and Sensitivities; 5.1.1.1 Evaluating Sensitivities; 5.1.2 Algorithmic Differentiation at a Glance; 5.2 Pricing Bermudan Swaptions with a Hull White Model; 5.2.1 Market Formulas for European Swaptions; 5.2.2 Analytical Pricing Formulas for the Hull White Model; 5.2.3 Pricing Bermudan Swaptions; 5.3 Pricing and Vega Calculation Example; 5.3.1 Implementation and Computational Costs; References; 6 Modelling and Calibration of Stochastic Correlation in Finance; 6.1 Introduction; 6.2 Stochastic Correlation Models
  • 6.3 A General Stochastic Correlation Process6.3.1 The Transformed Mean-Reverting Process; 6.3.2 The van Emmerich's Correlation Model; 6.3.3 The Transformed Modified Ornstein-Uhlenbeck Process; 6.4 Calibration Via Density Function; 6.4.1 Transition Density Function; 6.4.2 Calibration; 6.5 Pricing Quantos with Stochastic Correlation; 6.6 Numerical Results; 6.7 Conclusions; References; Part II Analysis; 7 Lie Group Analysis of Nonlinear Black-Scholes Models; 7.1 Economical Setting of the Optimization Problem for a Portfolio with an Illiquid Asset with a Given Liquidation Time Distribution
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319612812
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote
System control number
on1004717197

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