Approximations of Stochastic Models with Applications.

      Аннотация: This book presents models for approximating in finance. The model is calibrated to simulation -based methods containing Monte Carlo simulation. The book has been reorganized in order to ease its use within standard courses on numerical methods for financial engineering. It provides the reader with motivations for the use of numerical methods. Also it has an overview of financial theory, optimization. We also deal briefly with the estimation of option pricing by Monte Carlo methods. Indeed, the aim of this module is to learn to think about modeling in finance. To practice thinking about what is driving cause and effect in some simple models.

Ключевые слова: American option, Edgeworth expansion, genetic algorithm, State Space Models, Rolling Wavelet