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An Introduction to Particle Methods with Financial Applications

Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia (2012), An Introduction to Particle Methods with Financial Applications, dans Oudjane, Nadia; Hu, Peng; Del Moral, Pierre; Carmona, René, Numerical methods in finance, Springer e-books : Berlin, p. 3-50

Type
Chapitre d'ouvrage
Date
2012
Titre de l'ouvrage
Numerical methods in finance
Auteurs de l’ouvrage
Oudjane, Nadia; Hu, Peng; Del Moral, Pierre; Carmona, René
Éditeur
Springer e-books
Ville d’édition
Berlin
Isbn
978-3-642-25746-9
Nombre de pages
471
Pages
3-50
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Carmona, René
Del Moral, Pierre
Hu, Peng
Oudjane, Nadia
Résumé (EN)
The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications such as pricing complex path dependent European options, computing sensitivities, pricing American options or numerically solving partially observed control and estimation problems.
Mots-clés
Computational finance; theory of interacting particle methods
JEL
C63 - Computational Techniques; Simulation Modeling
G15 - International Financial Markets
G13 - Contingent Pricing; Futures Pricing