Deterministic and Stochastic Topics in Computational Finance

DOI10.1142/10341zbMath1396.91001OpenAlexW2538491889MaRDI QIDQ3181076

Ovidiu Calin

Publication date: 22 December 2016

Full work available at URL: https://doi.org/10.1142/10341

zbMATH Keywords

closed-form solutionsstochastic volatilityoption pricingmodel calibrationrisk-neutral valuationPDE-based approachinterest rate modelling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)

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