The Encyclopedia of Quantitative Finance

Wiley Finance Books

The NAG Fortran Library

Numerical Algorithms Group

The NAG C Library

Numerical Algorithms Group

Foreign Exchange Option Pricing: A Practitioners Guide

Wiley Finance Books

Blog: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR])

Quantitative Finance at arXiv 5 days ago

News: A First-Order BSPDE for Swing Option Pricing. (arXiv:1305.3988v1 [q-fin.PR])

5 days ago - q-fin updates on arXiv.org

We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solv...

Blog: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation. (arXiv:1305.1868v1 [q-fin.PR])

Quantitative Finance at arXiv 16 days ago

News: A Galerkin approximation scheme for the mean correction in a mean-reversion stochastic differential equation. (arXiv:1305.1868v1 [q-fin.PR])

16 days ago - q-fin updates on arXiv.org

This paper is concerned with the following Markovian stochastic differential equation of mean-reversion type \[ dR_t= (\theta +\sigma \alpha(R_t, t))R_t dt +\sigma R_t dB_t \]...

News: A convolution method for numerical solution of backward stochastic differential equations. (arXiv:1304.1783v1 [math.PR])

47 days ago - q-fin updates on arXiv.org

We propose a new method for the numerical solution of backward stochastic differential equations (BSDEs) which finds its roots in Fourier analysis. The method consists of an E...

Blog: A convolution method for numerical solution of backward stochastic differential equations. (arXiv:1304.1783v1 [math.PR])

Quantitative Finance at arXiv 47 days ago

News: Pricing Corporate Defaultable Bond using Declared Firm Value. (arXiv:1302.3654v1 [q-fin.PR])

96 days ago - q-fin updates on arXiv.org

We study the pricing problem for corporate defaultable bond from the viewpoint of the investors outside the firm that could not exactly know about the information of firm. We ...

Blog: Pricing Corporate Defaultable Bond using Declared Firm Value. (arXiv:1302.3654v1 [q-fin.PR])

Quantitative Finance at arXiv 96 days ago

Blog: The Easiest Way to Derive Black-Scholes

Falkenblog 102 days ago

Blog: Optimal replication of random claims by ordinary integrals with applications in finance. (arXiv:1301.0381v1 [q-fin.PM])

Quantitative Finance at arXiv 141 days ago