Numerical methods for quantitative finance

DOI10.1017/S0004972700034961zbMath1115.91322OpenAlexW2062962629MaRDI QIDQ5694938

Jamie Alcock

Publication date: 5 October 2005

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972700034961

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Point estimation (62F10) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Balanced Implicit Methods for Stiff Stochastic Systems
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