Novel Methods in Computational Finance. 1st ed. 2017

種類:

電子ブック

責任表示:

edited by Matthias Ehrhardt, Michael Günther, E. Jan W. ter Maten

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2017

著者名:

• Ehrhardt, Matthias.
• Günther, Michael.
• ter Maten, E. Jan W.
• SpringerLink (Online service)

シリーズ名:

The European Consortium for Mathematics in Industry ; 25

ISBN:

9783319612829 [3319612824]    

注記:

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 techniq

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