MÃ©thodes numÃ©riques en finance

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15 ELEMENTS BIBLIOGRAPHIQUES 218 Demailly, J.P. (1996). Analyse numérique et équations différentielles. Presses de l’Université de Grenoble. Dupire, B. (1998). Monte Carlo: methodogies and applications for pricing and risk management. Risk Book. Kwok, Y.W. (1997). Mathematical models of financial derivatives. Springer. Glasserman, P. (2004). Monte Carlo methods in financial engineering. Springer. Seydel, R. (2004). Tools for computational finance. Springer. McLeish, D.L. (2005). Monte carlo simulation & Finance. Wiley Finance. Lapeyre, B., Sulem, A. & Talay, D. (2002). Understanding numerical analysis for financial models. version provisoire Rappaz, J. & Picasso, M. (2000). Introduction à l’analyse numérique. Presses polytechniques et universitaires romandes. Fortin, A. (1995). Analyse numérique pour ingénieurs. Editions de l’école polytechnique de Montréal. Ahn, H., Penaud, A. & Wilmott, P. (1998). Various Passport Options and Their Valuation. Oxford University OCIAM Working Paper. Andrianjakaherivola, E. & Russo, F. (2001). The Quantile of a Diffusion: Pricing a Quantile Lookback Option. Working Paper. Avellaneda, M. & Wu, L. (1999). Pricing Parisian-Style Options with a Lattice Method. International Journal of Theoretical & Applied Finance, 2, 1-16. Babbs, S. (1992). Binomial Valuation of Lookback Options. Journal of Economic Dynamics & Control, 24, 1499-1525. Ballotta, L. & Kyprianou, A. (2001). A Note on the Alpha-Quantile Option. Applied Mathematical Finance, 8, 137-144. Beaglehole, D.R., Dybvig, P.H. & Zhou, G. (1997). Going to Extremes: Correcting Simulation Bias in Exotic Option Valuation. Assocation for Investment Management & Research Papern ?, ??-??. Bermin, H. (1996). Exotic Lookback options: The case of Extreme Spread Options. ( Working Paper, Lund University. Boyle, P. & Lau, S.H. (1994). Bumping Against the Barrier with the Binomial Method. Journal of Derivatives, 1, 6-14. Boyle, P. & Tian, Y. (1998). An Exlicit Finite Difference Approach to the Pricing of Barrier Options. Applied Mathematical Finance, 5, 17-43. Buetow, G. (1999). Ratchet Options. Journal of Financial & Strategic Decision, 12. Conze, A. & Viswanathan, R. (1991). Path Dependent Options: The Case of Lookback Options. Journal of Finance, ?. 1893-1907. Dassios, A. (1995). The Distribution of the Quantile of a Brownian Motion with Drift & the Pricing of Related Path-Dependent Options. Annals of Applied Probability, 5, 389-98. Arthur CHARPENTIER - Méthodes numériques en Finance
15 ELEMENTS BIBLIOGRAPHIQUES 219 Delbaen, F. & Yor, M. (1998). Passport Options. Working Paper. Derman, E., Kani, I., Ergener, D. & Bardhan, I. (1995). Enhanced Numerical Methods for Options With Barriers. Goldman Sachs Working Paper. Dravid, A., Richardson, M. & Sun, T.S. (1993). Pricing foreign index contingent claims: an application to Nikkei index warrants. Journal of Derivatives, 1, 33-51. Duan, J.C. (2003). An Enhanced Path-Derivative Monte-Carlo Method for Computing Option Greeks. University of Toronto Working Paper. Duan, J.C., Pliska, S. (2003). Option Valuation with Co-Integrated Asset Prices. Journal of Economic Dynamics & Control, ?, ??-??. Figlewski S. & Gao, B. (1999). The Adaptive Mesh Model: A New Approach to Efficient Option Pricing. Journal of Financial Economics, 53, 313-351. Fujita, T. & Miura, R. (2003). Edokko Options: A New Framework of Barrier Options. Asia-Pacific Financial Markets, 9 141-153. Fujita, T. (2000). A Note on the Joint Distribution of a,ß-Percentiles and Its Application to the Option Pricing. Asia-Pacific Financial Markets, 7 339-344. Geske, R. (1977). The Valuation of Corporate Liabilities as Compound Options. Journal of Financial and Quantitative Analysis, 12, 541-552. Geske, R. (1979). The Valuation of Compound Options. Journal of Financial Economics, 7, 63-81. Goldman, B., Sosin, H. & Gatto, M. A. (1979). Path Dependent Options: Buy at the Low, Sell at the High. Journal of Finance, ?, 1111-1127. Haber, R.J., Schönbucher, P.J. & Wilmott, P. (1999). Options. Journal of Derivatives, 6, 71-79. Pricing Parisian Hartley, P. (2002). Pricing Parisian Options by Laplace Inversion. Decisions in Economics & Finance. ?, ??-?? Kat, H. M. (1995). Pricing Lookback Options Using Binomial Trees: An Evaluation. Journal of Financial Engineering, 4, 375-397. Klassen, T. R. (2001). Simple, Fast & Flexible Pricing of Asian Options. Journal of Computational Finance, 4, 89-124. Kwok, Y.K. & Lau, K.W. (2001). Pricing Algorithms for Options with Exotic Path-Dependence. Journal of Derivatives, ?, ??-??. Kyprianou, A. & Baurdoux, C. (2004). Further Calculations for Israeli Options. Stochastics & Stochastics Reports, 76, 549-569. Kyprianou, A., Worlking Paper. Kühn, C. (2003). Israeli Options as composite Exotic Options. Kyprianou, A. (2002). "Some Calculations for Israeli Options. Journal of Finance & Stochastics, ?, ??-??. Levitan, S. (2001). Lattice Methods for Barrier Options. University of Witwatersrand Honours Project. Macaskill, J. (2001). Managing the Downturn, Thomson IF Review. Arthur CHARPENTIER - Méthodes numériques en Finance
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1 Méthodes numériques en finance
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CONTENTS 3 6.4 Petit complément su
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CONTENTS 5 12 Améliorer la précis
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2 INTRODUCTION AUX “OPTIONS” 7
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3 UN PEU DE MODÉLISATION ET DE MAT
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4 QUELQUES MOTS SUR L’ESTIMATION
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4 QUELQUES MOTS SUR L’ESTIMATION
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5 LES NOTIONS DE TAUX D’INTÉRÊT
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6 OPTIONS ET ARBRES BINOMIAUX 41 6
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6 OPTIONS ET ARBRES BINOMIAUX 43 n
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6 OPTIONS ET ARBRES BINOMIAUX 45 so
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6 OPTIONS ET ARBRES BINOMIAUX 47 Op
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6 OPTIONS ET ARBRES BINOMIAUX 49 Er
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6 OPTIONS ET ARBRES BINOMIAUX 51 co
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6 OPTIONS ET ARBRES BINOMIAUX 53 6.
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6 OPTIONS ET ARBRES BINOMIAUX 55 Ar
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6 OPTIONS ET ARBRES BINOMIAUX 57 Op
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6 OPTIONS ET ARBRES BINOMIAUX 59 et
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6 OPTIONS ET ARBRES BINOMIAUX 61 n
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7 VALORISATION EN TEMPS CONTINU 69
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8 APPROCHE PAR LES ÉQUATIONS AUX D
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9 PETITS RAPPELS D’ANALYSE NUMÉR
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10 RÉSOLUTION DES EDP ET DIFFÉREN
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11 MÉTHODES DE SIMULATIONS DANS LE
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12 AMÉLIORER LA PRÉCISION DES EST
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