| Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|---|
| E-Books | Biblioteca da FCTUNL Online | Não Ficção | HG174.CAR FCT 96020 (Browse shelf) | 1 | Available |
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| HG173.SPR FCT 82701 Generalized hyperbolic secant distributions | HG173.SPR FCT 82868 Finanza matematica | HG173.SPR FCT 82884 PDE and martingale methods in option pricing | HG174.CAR FCT 96020 Numerical methods in finance | HG174.SPR FCT 82057 Tychastic measure of viability risk | HG176.5.SPR FCT 81403 Statistics for business and financial economics | HG176.5.SPR FCT 81905 Mathematical and statistical methods for actuarial sciences and finance |
Colocação: Online
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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