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2012 | OriginalPaper | Buchkapitel

An Introduction to Particle Methods with Financial Applications

verfasst von : René Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane

Erschienen in: Numerical Methods in Finance

Verlag: Springer Berlin Heidelberg

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Abstract

The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications such as pricing complex path dependent European options, computing sensitivities, pricing American options or numerically solving partially observed control and estimation problems.

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Titel: An Introduction to Particle Methods with Financial Applications
verfasst von: René Carmona
Pierre Del Moral
Peng Hu
Nadia Oudjane
Verlag: Springer Berlin Heidelberg
Buch: Numerical Methods in Finance
Print ISBN: 978-3-642-25745-2

Electronic ISBN: 978-3-642-25746-9

Copyright-Jahr: 2012
DOI: https://doi.org/10.1007/978-3-642-25746-9_1

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