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Finance and Stochastics

Issue 3/2009

Special Issue on Computational Methods in Finance (Part I)

Content (7 Articles)

Editorial

Editorial

Ralf Korn, Martin Schweizer

Open Access

Quasi-Monte Carlo methods with applications in finance

Pierre L’Ecuyer

Adjoint-based Monte Carlo calibration of financial market models

C. Kaebe, J. H. Maruhn, E. W. Sachs

On irregular functionals of SDEs and the Euler scheme

Rainer Avikainen

Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff

Michael B. Giles, Desmond J. Higham, Xuerong Mao

Open Access

A new higher-order weak approximation scheme for stochastic differential equations and the Runge–Kutta method

Mariko Ninomiya, Syoiti Ninomiya

Basket CDS pricing with interacting intensities

Harry Zheng, Lishang Jiang

Apr 09
Issue: 2/2009
Sep 09
Issue: 4/2009
Special Issue on Computational Methods in Finance (Part II)

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