Novel methods in computational finance

DOI10.1007/978-3-319-61282-9zbMath1390.91011OpenAlexW4239305013MaRDI QIDQ2361711

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Publication date: 30 June 2017

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-61282-9

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (6)

A Gaussian radial basis function-finite difference technique to simulate the HCIR equation ⋮ Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching ⋮ Improved numerical solution of multi-asset option pricing problem: a localized RBF-FD approach ⋮ Fitted finite volume method for indifference pricing in an exponential utility regime-switching model ⋮ Pricing multi-asset option problems: a Chebyshev pseudo-spectral method ⋮ An RBF-FD sparse scheme to simulate high-dimensional Black-Scholes partial differential equations

Uses Software

• Matlab
• SymPy
• WinBUGS
• SciPy
• NumPy
• Matplotlib
• Scikit
• PyMC
• Cython
• Python
• TensorFlow
• IPython
• pandas
• Flask
• xlwings
• finmarketpy
• findatapy
• chartpy
• bokeh
• arctic
• CFT

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