Show simple item record

An Introduction to Particle Methods with Financial Applications

dc.contributor.authorCarmona, René
dc.contributor.authorDel Moral, Pierre
HAL ID: 740764
dc.contributor.authorHu, Peng
dc.contributor.authorOudjane, Nadia
dc.date.accessioned2013-07-02T08:37:44Z
dc.date.available2013-07-02T08:37:44Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11498
dc.language.isoenen
dc.subjectComputational financeen
dc.subjecttheory of interacting particle methodsen
dc.subject.ddc332en
dc.subject.classificationjelC63en
dc.subject.classificationjelG15en
dc.subject.classificationjelG13en
dc.titleAn Introduction to Particle Methods with Financial Applicationsen
dc.typeChapitre d'ouvrage
dc.description.abstractenThe 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.en
dc.identifier.citationpages3-50en
dc.relation.ispartoftitleNumerical methods in financeen
dc.relation.ispartofeditorOudjane, Nadia
dc.relation.ispartofeditorHu, Peng
dc.relation.ispartofeditorDel Moral, Pierre
dc.relation.ispartofeditorCarmona, René
dc.relation.ispartofpublnameSpringer e-booksen
dc.relation.ispartofpublcityBerlinen
dc.relation.ispartofdate2012
dc.relation.ispartofpages471en
dc.relation.isversionofdoi10.1007/978-3-642-25746-9_1
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-3-642-25746-9en
dc.relation.forthcomingnonen
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record