Topics in Numerical Methods for Finance

By John J.H. Miller, Mark Cummins, Finbarr Murphy

Book Overview

On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance.- Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces.- Solving Impulse Control Problems with Control Delays.- FIX: The Fear Index ? Measuring Market Fear.- American Option Pricing using Simulation and Regression: Numerical Convergence Results.- The COS Method for Pricing Options under Uncertain Volatility.- Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps.- Pricing Credit Derivatives in a Wiener-Hopf Framework.- The Evaluation of Gas Swing Contracts with Regime Switching.- A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets.

• Format: Hardcover
• Language: English
• ISBN: 1461434327
• ISBN13: 9781461434320
• Release Date: July 2012
• Publisher: Springer
• Length: 204 Pages
• Weight: 1.13 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"