Titlebook: Topics in Numerical Methods for Finance; Mark Cummins,Finbarr Murphy,John J.H. Miller Conference proceedings 2012 Springer Science+Busines

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Conference proceedings 2012c differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impu

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2194-1009 ree surface construction, moving boundary problems, arbitrag.Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving leas