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Year of publication
Subject
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Numerisches Verfahren 329 Numerical analysis 255 Theorie 186 Theory 177 Optionspreistheorie 94 Option pricing theory 93 USA 46 United States 46 Stochastischer Prozess 45 Stochastic process 42 Finanzmathematik 40 Mathematische Optimierung 38 Mathematical programming 37 Mathematical finance 30 Black-Scholes-Modell 27 Volatilität 23 Black-Scholes model 22 Volatility 22 Option trading 21 Optionsgeschäft 21 Simulation 20 Portfolio selection 19 Portfolio-Management 19 Analysis 14 Computerized method 14 Computerunterstützung 14 Monte-Carlo-Simulation 14 Derivat 13 Derivative 13 Dynamic programming 13 Dynamische Optimierung 13 Markov-Kette 13 Mathematical analysis 13 Algorithmus 12 Markov chain 12 Optimierung 12 Algorithm 10 Allgemeines Gleichgewicht 10 Geldpolitik 10 Monetary policy 10
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Online availability
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Free 76 Undetermined 34
Type of publication
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Book / Working Paper 206 Article 120 Journal 3
Type of publication (narrower categories)
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Article in journal 101 Aufsatz in Zeitschrift 101 Working Paper 68 Graue Literatur 66 Non-commercial literature 66 Arbeitspapier 59 Lehrbuch 18 Hochschulschrift 17 Aufsatz im Buch 16 Book section 16 Thesis 14 Collection of articles of several authors 11 Sammelwerk 11 Konferenzschrift 10 Conference proceedings 5 Aufsatzsammlung 4 Bibliografie enthalten 4 Bibliography included 4 Collection of articles written by one author 2 Dissertation u.a. Prüfungsschriften 2 Handbook 2 Handbuch 2 Sammlung 2 Article 1 Einführung 1 Forschungsbericht 1 Monografische Reihe 1 Software 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 290 German 34 Undetermined 5
Author
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Heer, Burkhard 8 Maußner, Alfred 7 Böhringer, Christoph 6 Glen, Andrew G. 6 Leemis, Lawrence M. 6 Nakov, Anton 6 Thomas, Carlos 6 Akdeniz, Levent 4 Dechert, W. Davis 4 Fernández, Esther 4 Fernández-Villaverde, Jesús 4 Forsyth, Peter A. 4 Fox, Jeremy T. 4 Günther, Michael 4 Herbertsson, Alexander 4 Joshi, Mark S. 4 Judd, Kenneth L. 4 Jüngel, Ansgar 4 Li, Minqiang 4 Novales, Alfonso 4 Rubio-Ramírez, Juan Francisco 4 Ruíz, Jesús 4 Santos Santos, Manuel 4 Vetzal, Kenneth R. 4 Wiegard, Wolfgang 4 Zvan, R. 4 Bensoussan, Alain 3 Brandt-Pollmann, Ulrich 3 Flodén, Martin 3 Moslener, Ulf 3 Sager, Sebastian 3 Schlöder, Johannes P. 3 Seydel, Rüdiger 3 Su, Che-Lin 3 Winkler, Ralph 3 Wäscher, Gerhard 3 AitSahlia, Farid 2 Alfeus, Mesias 2 Anderson, Gary S. 2 Bambi, Mauro 2
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Institution
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Real Sociedad Matemática Española 2 Springer International Publishing 2 American Mathematical Society 1 Deutsche Physikalische Gesellschaft 1 Forschungsinstitut für Mathematik <Berlin, Ost> 1 Institut de Recherche d'Informatique et d'Automatique <Rocquencourt> / Laboratoire de Recherche 1 Institut für Angewandte Mathematik und Mechanik <Berlin, Ost> 1 International Conference on Computing in Economics and Finance <14, 2008, Paris> 1 International Conference on Numerical Methods for Finance <2006, Dublin> 1 International Conference on Stochastic Programming <8, 1998, Vancouver, British Columbia> 1 Iowa State University / Department of Economics 1 National Bureau of Economic Research 1 Real Sociedad Matemática Espaänola 1 Santaló Summer School <2007, Santander> 1 Social Systems Research Institute 1 Springer-Verlag GmbH 1 Tagung über Numerische Methoden bei Optimierungsaufgaben 1 Tagung über Optimierung bei Graphentheoretischen und Ganzzahligen Problemen 1 UIMP-RSME Santaló Summer School <Santander)> 1 Universidad Internacional Menéndez Pelayo (Santander) 1 Universidad Internacional Menéndez Pelayo / Sede Santander 1 University of Minnesota / Department of Applied Economics 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1 Wharton School / Pension Research Council 1 Zentralinstitut für Mathematik und Mechanik 1
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Published in...
All
International journal of theoretical and applied finance 11 Review of derivatives research 7 The journal of futures markets 6 Journal of economic dynamics & control 5 Applied mathematical finance 4 Chapman & Hall/CRC financial mathematics series 4 The journal of computational finance 4 Working paper / National Bureau of Economic Research, Inc. 4 Working papers in economics 4 Computational economics 3 Computational probability applications 3 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 3 Economic theory : official journal of the Society for the Advancement of Economic Theory 3 European journal of operational research : EJOR 3 Finance and stochastics 3 SpringerLink / Bücher 3 Working paper series 3 A Chapman & Hall book 2 Applied optimization 2 CESifo Working Paper 2 CESifo working papers 2 Cahier de recherches / Faculté des Sciences Economiques et Sociales, Hautes Etudes Commerciales, Université de Genève 2 Computational Management Science : CMS 2 Discussion paper / Department of Business and Management Science 2 Economics Working Paper Series 2 Economics letters 2 Finance and economics discussion series 2 International Series in Operations Research & Management Science 2 International series in operations research & management science 2 Journal of mathematical finance 2 Lecture notes in economics and mathematical systems : operations research, computer science, social science 2 Leitfäden der angewandten Mathematik und Mechanik : LAMM 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Natural resource modeling : the official journal of the Resource Modeling Association 2 SFB 649 discussion paper 2 Schriften zur angewandten Ökonometrie 2 Springer eBook Collection / Business and Management 2 Springer-Lehrbuch 2 Studium 2 The journal of economic education 2
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Source
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ECONIS (ZBW) 278 USB Cologne (EcoSocSci) 41 EconStor 10
Showing 1 - 50 of 329
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Convex optimization based on global lower second-order models
Doikov, Nikita; Nesterov, Jurij Evgenʹevič - 2020
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Numerical Methods in Computational Finance : A Partial Differential Equation (PDE/FDM) Approach
Duffy, Daniel J. - 2022
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Economic Growth : Theory and Numerical Solution Methods
Novales, Alfonso; Fernández, Esther; Ruíz, Jesús - 2022 - 3rd ed. 2022.
Introduction -- The Neoclassical GrowthModel Under a Constant Savings Rate -- Optimal Growth: Continuous Time Analysis -- Optimal Growth: Discrete Time Analysis -- Numerical Solution Methods -- Endogenous Growth Models -- Additional Endogenous Growth Models -- Growth in Monetary Economies:...
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Computing the distribution : adaptive finite volume methods for economic models with heterogeneous agents
Ahn, SeHyoun - 2019
Solving economic models with heterogenous agents requires computing aggregate dynamics consistent with individual behaviors. This paper introduces the ?nite volume method from the mathe-matics literature to enlarge the set of numerical methods available to compute dynamics in continuous time....
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Deep-Learning Based Numerical BSDE Method for Barrier Options
Yu, Bing - 2019
As is known, an option price is a solution to a certain partial differential equation (PDE) with terminal conditions (payoff functions). There is a close association between the solution of PDE and the solution of a backward stochastic differential equation (BSDE). We can either solve the PDE to...
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On numerical methods for spread options
Alfeus, Mesias; Overbeck, Ludger - 2018
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On Numerical Methods for Spread Options
Alfeus, Mesias - 2018
Spread options are multi-asset options whose payoffs depend on the difference of two underlying financial variables. In most cases, analytically closed form solutions for pricing such payoffs are not available, and the application of numerical pricing methods turns out to be non-trivial. We...
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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models
Dang, Duy-Minh - 2018
We propose numerical schemes for pricing Asian options when the underlying asset price follows a very general state-dependent regime-switching jump-diffusion process. Under this model, the price of the option can be obtained by solving a highly complex system of coupled two-dimensional parabolic...
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A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
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Transition paths for Bewley-Huggett-Aiyagari models : comparison of some solution algorithms
Kirkby, Robert - 2017
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Maximum likelihood estimation of continuous-discrete state-space models : Langevin path sampling vs. numerical integration
Singer, Hermann - 2016
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Arbitrage-Free Pricing of XVA – Part II : PDE Representation and Numerical Analysis
Bichuch, Maxim - 2016
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We...
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Numerical methods and optimization in finance
Gilli, Manfred; Maringer, Dietmar G.; Schumann, Enrico - 2019 - Second edition
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Numerical stability of a hybrid method for pricing options
Briani, Maya; Caramellino, Lucia; Terenzi, Giulia; … - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-46
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A numerical algorithm for the coupled PDEs control problem
Yuan, Gonglin; Li, Xiangrong - In: Computational economics 53 (2019) 2, pp. 697-707
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Fast computation algorithm for the random consideration set model
Lee, Young Hwan - In: Economics letters 179 (2019), pp. 38-41
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Volatility and correlation in financial markets : theoretical developments and numerical analysis
Pisani, Camilla - 2015
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The jump start power method : a new approach for computing the ergodic projector of a finite Markov chain
Berkhout, Joost; Heidergott, Bernd - 2015
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Theoretical and Numerical Analysis of an Optimal Execution Problem with Uncertain Market Impact
Ishitani, Kensuke - 2015
This paper is a continuation of Ishitani and Kato (2015), in which we derived a continuous-time value function corresponding to an optimal execution problem with uncertain market impact as the limit of a discrete-time value function. Here, we investigate some properties of the derived value...
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High-performance computing in finance : problems, methods, and solutions
Kanniainen, Juho - 2018
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American option valuation methods
Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13
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Numerical computation of convex risk measures
Papayiannis, G. I.; Yannacopoulos, Athanasios N. - In: Advances of OR in commodities and financial modeling, (pp. 417-435). 2018
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A study on numerical solution of Black-Scholes model
Anwar, Md. Nurul; Andallah, Laek Sazzad - In: Journal of mathematical finance 8 (2018) 2, pp. 372-381
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Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667
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Who benefits from cooperation? : a numerical analysis of redistribution effects resulting from cooperation in European RES-E support
Unteutsch, Michaela - 2014
This paper numerically analyzes redistribution effects resulting from cooperation among European countries in achieving the 2020 targets for electricity generation from renewable energy sources (RES-E). The quantification of redistribution effects builds on the theoretical analysis by Unteutsch...
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Rethinking how to support intermittent renewables
Narbel, Patrick A. - 2014
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Tracking the exchange rate management in Latin America
Carrera, César - 2014
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Stochastic modells for energy markets : statistics, pricing and model risk
Nazarova, Anna - 2014
In dieser Arbeit entwickeln wir neue Methoden und Verfahren, um aktuelle Modellierungsverfahren zu ergänzen und zu verbessern und um so ein tieferes Verständnis von Energiemärkten zu gewinnen. Wir untersuchen verschiedene Aspekte der stochastischen Modellierung von Energiemärkten: wir...
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An improved method for pricing and hedging American options
Paletta, Tommaso; Stanescu, Silvia; Tunaru, Radu - 2014
Persistent link: https://ebtypo.dmz1.zbw/10010469219
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Modelling the impact of energy and climate policies
Huppman, Daniel; Holz, Franziska - 2014
Climate change mitigation and the transformation to a global low-carbon economy is a pressing issue in policy discussions and international negotiations. The political debate is supported by the scientific community with a large number of projections, pathway simulations and scenario analyses of...
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Optimal portfolio allocation of commodity related assets using a controlled forward-backward algorithm
Ludwig, Stephan Ernst - 2013
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Approximate dynamic programming with postdecision states as a solution method for dynamic economic models
Hull, Isaiah - 2013
I introduce and evaluate a new stochastic simulation method for dynamic economic models. It is based on recent work in the operations research and engineering literatures (Van Roy et. al, 1997; Powell, 2007; Bertsekas, 2011). The baseline method involves rewriting the household's dynamic program in...
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Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
Lipp, Tobias - 2013
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An Efficient Numerical PDE Approach for Pricing Foreign Exchange Interest Rate Hybrid Derivatives
Dang, Duy-Minh - 2013
We discuss efficient pricing methods via a Partial Differential Equation (PDE) approach for long dated foreign exchange (FX) interest rate hybrids under a three-factor multi-currency pricing model with FX volatility skew. The emphasis of the paper is on Power-Reverse Dual-Currency (PRDC) swaps...
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Practical Problems in the Numerical Solution of PDE's in Finance
Fusai, Gianluca - 2013
In this paper we investigate the use of finite difference and finite element schemes when applied to the valuation of exotic options characterized by discontinuities in the payoff function. In particular, we will conduct a numerical analysis of several common schemes in order to give a better...
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Numerical Methods for the Valuation of Accumulators under Local Volatility
Le Floc'h, Fabien - 2013
Under the local volatility model, the convergence of Monte-Carlo with Milstein discretization and Euler discretization are compared for the pricing of Vanilla, Digital, discrete Barrier options as well as a more exotic variety of option, the Accumulator. A finite difference approach is also...
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Computational probability : algorithms and applications in the mathematical sciences
Drew, John H.; Evans, Diane L.; Glen, Andrew G.; … - 2017 - Second edition
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Computational probability applications
Glen, Andrew G. (ed.); Leemis, Lawrence M. (ed.) - 2017
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Einführung in die numerische Berechnung von Finanzderivaten : computational finance
Seydel, Rüdiger - 2017 - 2. Auflage
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Order statistics in goodness-of-fit testing
Glen, Andrew G.; Barr, Donald R.; Leemis, Lawrence M. - In: Computational probability applications, (pp. 31-39). 2017
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An inference methodology for life tests with full samples or type II right censoring
Glen, Andrew G.; Foote, Bobbie L. - In: Computational probability applications, (pp. 59-73). 2017
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Lower confidence bounds for system reliability from binary failure data using bootstrapping
Leemis, Lawrence M. - In: Computational probability applications, (pp. 217-237). 2017
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Stabilizing implementable decisions in dynamic stochastic programming
Dempster, Michael A. H.; Medova, Elena A.; Yong, Yee Sook - In: Optimal financial decision making under uncertainty, (pp. 177-200). 2017
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A primal-dual algorithm for BSDES
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901
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Computational Probability : Algorithms and Applications in the Mathematical Sciences
Drew, John H. - 2017 - 2nd ed. 2017
This new edition includes the latest advances and developments in computational probability involving A Probability Programming Language (APPL). The book examines and presents, in a systematic manner, computational probability methods that encompass data structures and algorithms. The developed...
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Computational Probability Applications
Glen, Andrew G. (ed.); Leemis, Lawrence M. (ed.) - 2017
This focuses on the developing field of building probability models with the power of symbolic algebra systems. The book combines the uses of symbolic algebra with probabilistic/stochastic application and highlights the applications in a variety of contexts. The research explored in each chapter...
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Numerical Partial Differential Equations in Finance Explained : An Introduction to Computational Finance
in 't Hout, Karel - 2017
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In...
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Pricing vulnerable options with jump clustering
Ma, Yong; Shrestha, Keshab; Xu, Weidong - In: The journal of futures markets 37 (2017) 12, pp. 1155-1178
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Valuing American options using fast recursive projections
Cosma, Antonio; Galluccio, Stefano; Scaillet, Olivier - 2012
This paper introduces a new numerical option pricing method by fast recursive projections. The projection step consists in representing the payoff and the state price density with a fast discrete transform based on a simple grid sampling. The recursive step consists in transmitting coefficients...
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SLOPPGEN: a problem generator for the two-dimensional rectangular single large object placement problem with defects
Neidlein, Vera; Scholz, André; Wäscher, Gerhard - 2012
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