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Finance and Stochastics

Issue 4/2009

Special Issue on Computational Methods in Finance (Part II)

Content (6 Articles)

Numerical methods for Lévy processes

N. Hilber, N. Reich, C. Schwab, C. Winter

Computing exponential moments of the discrete maximum of a Lévy process and lookback options

Liming Feng, Vadim Linetsky

Fast and accurate pricing of barrier options under Lévy processes

Oleg Kudryavtsev, Sergei Levendorskiǐ

Smart expansion and fast calibration for jump diffusions

E. Benhamou, E. Gobet, M. Miri

MDP algorithms for portfolio optimization problems in pure jump markets

Nicole Bäuerle, Ulrich Rieder

Open Access

Interacting particle systems for the computation of rare credit portfolio losses

René Carmona, Jean-Pierre Fouque, Douglas Vestal

Sep 09
Issue: 3/2009
Special Issue on Computational Methods in Finance (Part I)
Jan 10
Issue: 1/2010

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