High Order Compact Finite Difference Scheme For Option Pricing In Stochastic Volatility Jump Models

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Recent Advances in Mathematical and Statistical Methods

Author : D. Marc Kilgour
Publisher : Springer
ISBN 13 : 331999719X
Total Pages : 622 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Recent Advances in Mathematical and Statistical Methods by : D. Marc Kilgour

Download or read book Recent Advances in Mathematical and Statistical Methods written by D. Marc Kilgour and published by Springer. This book was released on 2018-11-04 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the recent development of methodologies and computation methods in mathematical and statistical modelling, computational science and applied mathematics. It emphasizes the development of theories and applications, and promotes interdisciplinary endeavour among mathematicians, statisticians, scientists, engineers and researchers from other disciplines. The book provides ideas, methods and tools in mathematical and statistical modelling that have been developed for a wide range of research fields, including medical, health sciences, biology, environmental science, engineering, physics and chemistry, finance, economics and social sciences. It presents original results addressing real-world problems. The contributions are products of a highly successful meeting held in August 2017 on the main campus of Wilfrid Laurier University, in Waterloo, Canada, the International Conference on Applied Mathematics, Modeling and Computational Science (AMMCS-2017). They make this book a valuable resource for readers interested not only in a broader overview of the methods, ideas and tools in mathematical and statistical approaches, but also in how they can attain valuable insights into problems arising in other disciplines.

Computational Sciences - Modelling, Computing and Soft Computing

Author : Ashish Awasthi
Publisher : Springer Nature
ISBN 13 : 9811647720
Total Pages : 271 pages
Book Rating : 4.8/5 (116 download)

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Book Synopsis Computational Sciences - Modelling, Computing and Soft Computing by : Ashish Awasthi

Download or read book Computational Sciences - Modelling, Computing and Soft Computing written by Ashish Awasthi and published by Springer Nature. This book was released on 2021-07-27 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised and selected papers of the First International Conference on Computational Sciences - Modelling, Computing and Soft Computing, held in Kozhikode, Kerala, India, in September 2020. The 15 full papers and 6 short papers presented were thoroughly reviewed and selected from the 150 submissions. They are organized in the topical secions on computing; soft computing; general computing; modelling.

Novel Methods in Computational Finance

Author : Matthias Ehrhardt
Publisher : Springer
ISBN 13 : 3319612824
Total Pages : 599 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Novel Methods in Computational Finance by : Matthias Ehrhardt

Download or read book Novel Methods in Computational Finance written by Matthias Ehrhardt and published by Springer. This book was released on 2017-09-19 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Pricing Derivatives Under Lévy Models

Author : Andrey Itkin
Publisher : Birkhäuser
ISBN 13 : 1493967924
Total Pages : 318 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Pricing Derivatives Under Lévy Models by : Andrey Itkin

Download or read book Pricing Derivatives Under Lévy Models written by Andrey Itkin and published by Birkhäuser. This book was released on 2017-02-27 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a novel numerical approach to solving partial integro-differential equations arising in asset pricing models with jumps, which greatly exceeds the efficiency of existing approaches. The method, based on pseudo-differential operators and several original contributions to the theory of finite-difference schemes, is new as applied to the Lévy processes in finance, and is herein presented for the first time in a single volume. The results within, developed in a series of research papers, are collected and arranged together with the necessary background material from Lévy processes, the modern theory of finite-difference schemes, the theory of M-matrices and EM-matrices, etc., thus forming a self-contained work that gives the reader a smooth introduction to the subject. For readers with no knowledge of finance, a short explanation of the main financial terms and notions used in the book is given in the glossary. The latter part of the book demonstrates the efficacy of the method by solving some typical problems encountered in computational finance, including structural default models with jumps, and local stochastic volatility models with stochastic interest rates and jumps. The author also adds extra complexity to the traditional statements of these problems by taking into account jumps in each stochastic component while all jumps are fully correlated, and shows how this setting can be efficiently addressed within the framework of the new method. Written for non-mathematicians, this book will appeal to financial engineers and analysts, econophysicists, and researchers in applied numerical analysis. It can also be used as an advance course on modern finite-difference methods or computational finance.

Proceedings of the Ninth International Conference on Mathematics and Computing

Author : Debasis Giri
Publisher : Springer Nature
ISBN 13 : 9819930804
Total Pages : 433 pages
Book Rating : 4.8/5 (199 download)

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Book Synopsis Proceedings of the Ninth International Conference on Mathematics and Computing by : Debasis Giri

Download or read book Proceedings of the Ninth International Conference on Mathematics and Computing written by Debasis Giri and published by Springer Nature. This book was released on 2023-07-31 with total page 433 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book features selected papers from the 9th International Conference on Mathematics and Computing (ICMC 2023), organized at BITS Pilani K. K. Birla Goa Campus, India, during 6–8 January 2023. It covers recent advances in the field of mathematics, statistics, and scientific computing. The book presents innovative work by leading academics, researchers, and experts from industry in mathematics, statistics, cryptography, network security, cybersecurity, machine learning, data analytics, and blockchain technology in computer science and information technology.

Progress in Industrial Mathematics at ECMI 2018

Author : István Faragó
Publisher : Springer Nature
ISBN 13 : 3030275507
Total Pages : 605 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Progress in Industrial Mathematics at ECMI 2018 by : István Faragó

Download or read book Progress in Industrial Mathematics at ECMI 2018 written by István Faragó and published by Springer Nature. This book was released on 2019-11-22 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores mathematics in a wide variety of applications, ranging from problems in electronics, energy and the environment, to mechanics and mechatronics. The book gathers 81 contributions submitted to the 20th European Conference on Mathematics for Industry, ECMI 2018, which was held in Budapest, Hungary in June 2018. The application areas include: Applied Physics, Biology and Medicine, Cybersecurity, Data Science, Economics, Finance and Insurance, Energy, Production Systems, Social Challenges, and Vehicles and Transportation. In turn, the mathematical technologies discussed include: Combinatorial Optimization, Cooperative Games, Delay Differential Equations, Finite Elements, Hamilton-Jacobi Equations, Impulsive Control, Information Theory and Statistics, Inverse Problems, Machine Learning, Point Processes, Reaction-Diffusion Equations, Risk Processes, Scheduling Theory, Semidefinite Programming, Stochastic Approximation, Spatial Processes, System Identification, and Wavelets. The goal of the European Consortium for Mathematics in Industry (ECMI) conference series is to promote interaction between academia and industry, leading to innovations in both fields. These events have attracted leading experts from business, science and academia, and have promoted the application of novel mathematical technologies to industry. They have also encouraged industrial sectors to share challenging problems where mathematicians can provide fresh insights and perspectives. Lastly, the ECMI conferences are one of the main forums in which significant advances in industrial mathematics are presented, bringing together prominent figures from business, science and academia to promote the use of innovative mathematics in industry.

Progress in Industrial Mathematics at ECMI 2014

Author : Giovanni Russo
Publisher : Springer
ISBN 13 : 3319234137
Total Pages : 1139 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Progress in Industrial Mathematics at ECMI 2014 by : Giovanni Russo

Download or read book Progress in Industrial Mathematics at ECMI 2014 written by Giovanni Russo and published by Springer. This book was released on 2017-09-04 with total page 1139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a collection of papers emphasizing applications of mathematical models and methods to real-world problems of relevance for industry, life science, environment, finance and so on. The biannual Conference of ECMI (the European Consortium of Mathematics in Industry) held in 2014 focused on various aspects of industrial and applied mathematics. The five main topics addressed at the conference were mathematical models in life science, material science and semiconductors, mathematical methods in the environment, design automation and industrial applications, and computational finance. Several other topics have been treated, such as, among others, optimization and inverse problems, education, numerical methods for stiff pdes, model reduction, imaging processing, multi physics simulation, mathematical models in textile industry. The conference, which brought together applied mathematicians and experts from industry, provided a unique opportunity to exchange ideas, problems and methodologies, bridging the gap between mathematics and industry and contributing to the advancement of science and technology. The conference has included a presentation of EU-Maths-In (European Network of Mathematics for Industry and Innovation), a recent joint initiative of ECMI and EMS. The proceedings from this conference represent a snapshot of the current activity in industrial mathematics in Europe, and are highly relevant to anybody interested in the latest applications of mathematics to industrial problems.

Computational Science and Its Applications – ICCSA 2023

Author : Osvaldo Gervasi
Publisher : Springer Nature
ISBN 13 : 3031368053
Total Pages : 819 pages
Book Rating : 4.0/5 (313 download)

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Book Synopsis Computational Science and Its Applications – ICCSA 2023 by : Osvaldo Gervasi

Download or read book Computational Science and Its Applications – ICCSA 2023 written by Osvaldo Gervasi and published by Springer Nature. This book was released on 2023-06-29 with total page 819 pages. Available in PDF, EPUB and Kindle. Book excerpt: The two-volume set LNCS 13956 and 13957 constitutes the refereed proceedings of the 23rd International Conference on Computational Science and Its Applications, ICCSA 2023, held at Lesvos Island, Greece, during July 3–6, 2023. The 67 full papers and 13 short papers and 6 PHD showcase papers included in this volume were carefully reviewed and selected from a total of 283 submissions. The contributions are grouped in topics which deal with General Track 1: Computational Methods, Algorithms and Scientific Applications; General Track 2: High Performance Computing and Networks; General Track 3: Geometric Modeling, Graphics and Visualization; General Track 4: Advanced and Emerging Applications; General Track 5: Information Systems and Technologies; General Track 6: Urban and Regional Planning; and PHD Showcase Papers.

Advances in Finance and Stochastics

Author : Klaus Sandmann
Publisher : Springer Science & Business Media
ISBN 13 : 9783540434641
Total Pages : 346 pages
Book Rating : 4.4/5 (346 download)

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Book Synopsis Advances in Finance and Stochastics by : Klaus Sandmann

Download or read book Advances in Finance and Stochastics written by Klaus Sandmann and published by Springer Science & Business Media. This book was released on 2002-04-23 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: In many areas of finance and stochastics, significant advances have been made since this field of research was opened by Black, Scholes and Merton in 1973. This volume contains a collection of original articles by a number of highly distinguished authors, on research topics that are currently in the focus of interest of both academics and practitioners.

Computational Sciences - Modelling, Computing and Soft Computing

Author : Ashish Awasthi
Publisher : Springer
ISBN 13 : 9789811647710
Total Pages : 271 pages
Book Rating : 4.6/5 (477 download)

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Book Synopsis Computational Sciences - Modelling, Computing and Soft Computing by : Ashish Awasthi

Download or read book Computational Sciences - Modelling, Computing and Soft Computing written by Ashish Awasthi and published by Springer. This book was released on 2021-07-28 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised and selected papers of the First International Conference on Computational Sciences - Modelling, Computing and Soft Computing, held in Kozhikode, Kerala, India, in September 2020. The 15 full papers and 6 short papers presented were thoroughly revised and selected from the 150 submissions. They are organized in the topical secions on computing; soft computing; general computing; modelling.

The Heston Model and its Extensions in Matlab and C#

Author : Fabrice D. Rouah
Publisher : John Wiley & Sons
ISBN 13 : 1118695178
Total Pages : 437 pages
Book Rating : 4.1/5 (186 download)

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Book Synopsis The Heston Model and its Extensions in Matlab and C# by : Fabrice D. Rouah

Download or read book The Heston Model and its Extensions in Matlab and C# written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2013-08-01 with total page 437 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tap into the power of the most popular stochastic volatility model for pricing equity derivatives Since its introduction in 1993, the Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering. This vital resource provides a thorough derivation of the original model, and includes the most important extensions and refinements that have allowed the model to produce option prices that are more accurate and volatility surfaces that better reflect market conditions. The book's material is drawn from research papers and many of the models covered and the computer codes are unavailable from other sources. The book is light on theory and instead highlights the implementation of the models. All of the models found here have been coded in Matlab and C#. This reliable resource offers an understanding of how the original model was derived from Ricatti equations, and shows how to implement implied and local volatility, Fourier methods applied to the model, numerical integration schemes, parameter estimation, simulation schemes, American options, the Heston model with time-dependent parameters, finite difference methods for the Heston PDE, the Greeks, and the double Heston model. A groundbreaking book dedicated to the exploration of the Heston model—a popular model for pricing equity derivatives Includes a companion website, which explores the Heston model and its extensions all coded in Matlab and C# Written by Fabrice Douglas Rouah a quantitative analyst who specializes in financial modeling for derivatives for pricing and risk management Engaging and informative, this is the first book to deal exclusively with the Heston Model and includes code in Matlab and C# for pricing under the model, as well as code for parameter estimation, simulation, finite difference methods, American options, and more.

Finite Difference Methods in Financial Engineering

Author : Daniel J. Duffy
Publisher : John Wiley & Sons
ISBN 13 : 1118856481
Total Pages : 452 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Finite Difference Methods in Financial Engineering by : Daniel J. Duffy

Download or read book Finite Difference Methods in Financial Engineering written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Hidden Markov Models

Author : Robert J Elliott
Publisher : Springer Science & Business Media
ISBN 13 : 0387848541
Total Pages : 374 pages
Book Rating : 4.3/5 (878 download)

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Book Synopsis Hidden Markov Models by : Robert J Elliott

Download or read book Hidden Markov Models written by Robert J Elliott and published by Springer Science & Business Media. This book was released on 2008-09-27 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics. In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the Kalman filter are derived as special cases of the authors’ general results and new expressions for a Kalman smoother are given. The Chapters on the control of Hidden Markov Chains are expanded and clarified. The revised Chapter 4 includes state estimation for discrete time Markov processes and Chapter 12 has a new section on robust control.

Financial Modelling with Jump Processes

Author : Peter Tankov
Publisher : CRC Press
ISBN 13 : 1135437947
Total Pages : 552 pages
Book Rating : 4.1/5 (354 download)

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Book Synopsis Financial Modelling with Jump Processes by : Peter Tankov

Download or read book Financial Modelling with Jump Processes written by Peter Tankov and published by CRC Press. This book was released on 2003-12-30 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Mathematical Reviews

Author :
Publisher :
ISBN 13 :
Total Pages : 1852 pages
Book Rating : 4.X/5 (6 download)

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Book Synopsis Mathematical Reviews by :

Download or read book Mathematical Reviews written by and published by . This book was released on 2005 with total page 1852 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistics of Financial Markets

Author : Jürgen Franke
Publisher : Springer Science & Business Media
ISBN 13 : 9783540216759
Total Pages : 454 pages
Book Rating : 4.2/5 (167 download)

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Book Synopsis Statistics of Financial Markets by : Jürgen Franke

Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.

A Theoretical Introduction to Numerical Analysis

Author : Victor S. Ryaben'kii
Publisher : CRC Press
ISBN 13 : 1000738280
Total Pages : 564 pages
Book Rating : 4.0/5 (7 download)

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Book Synopsis A Theoretical Introduction to Numerical Analysis by : Victor S. Ryaben'kii

Download or read book A Theoretical Introduction to Numerical Analysis written by Victor S. Ryaben'kii and published by CRC Press. This book was released on 2006-11-02 with total page 564 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Theoretical Introduction to Numerical Analysis presents the general methodology and principles of numerical analysis, illustrating these concepts using numerical methods from real analysis, linear algebra, and differential equations. The book focuses on how to efficiently represent mathematical models for computer-based study. An access