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An Introduction to Particle Methods with Financial Applications

Carmona, René; Del Moral, Pierre; Hu, Peng; Oudjane, Nadia (2012), An Introduction to Particle Methods with Financial Applications, in Oudjane, Nadia; Hu, Peng; Del Moral, Pierre; Carmona, René, Numerical methods in finance, Springer e-books : Berlin, p. 3-50

Type
Chapitre d'ouvrage
Date
2012
Book title
Numerical methods in finance
Book author
Oudjane, Nadia; Hu, Peng; Del Moral, Pierre; Carmona, René
Publisher
Springer e-books
Published in
Berlin
ISBN
978-3-642-25746-9
Number of pages
471
Pages
3-50
Publication identifier
Metadata
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Author(s)
Carmona, René
Del Moral, Pierre
Hu, Peng
Oudjane, Nadia
Abstract (EN)
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.
Subjects / Keywords
Computational finance; theory of interacting particle methods
JEL
C63 - Computational Techniques; Simulation Modeling
G15 - International Financial Markets
G13 - Contingent Pricing; Futures Pricing