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
Book titleNumerical methods in finance
Book authorOudjane, Nadia; Hu, Peng; Del Moral, Pierre; Carmona, René
Number of pages471
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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 / KeywordsComputational finance; theory of interacting particle methods
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