Recent Developments in Computational Finance_ Foundations, Algorithms and Applications [Gerstner & Kloeden 2013-01-22].pdf

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Recent Developments in
Computational Finance
Foundations, Algorithms and Applications
INTERDISCIPLINARY MATHEMATICAL SCIENCES*
Series Editor:
Jinqiao Duan
(University of California, Los Angeles, USA)
Editorial Board:
Ludwig Arnold, Roberto Camassa, Peter Constantin,
Charles Doering, Paul Fischer, Andrei V. Fursikov, Xiaofan Li,
Sergey V. Lototsky, Fred R. McMorris, Daniel Schertzer,
Bjorn Schmalfuss, Yuefei Wang, Xiangdong Ye, and Jerzy Zabczyk
Published
Vol. 4:
Vol. 5:
Vol. 6:
Vol. 7:
Vol. 8:
Vol. 9:
Mathematical Theory of Adaptive Control
Vladimir G. Sragovich
The Hilbert–Huang Transform and Its Applications
eds. Norden E. Huang & Samuel S. P. Shen
Meshfree Approximation Methods with MATLAB
Gregory E. Fasshauer
Variational Methods for Strongly Indefinite Problems
Yanheng Ding
Recent Development in Stochastic Dynamics and Stochastic Analysis
eds. Jinqiao Duan, Shunlong Luo & Caishi Wang
Perspectives in Mathematical Sciences
eds. Yisong Yang, Xinchu Fu & Jinqiao Duan
Vol. 10: Ordinal and Relational Clustering (with CD-ROM)
Melvin F. Janowitz
Vol. 11: Advances in Interdisciplinary Applied Discrete Mathematics
eds. Hemanshu Kaul & Henry Martyn Mulder
Vol. 12: New Trends in Stochastic Analysis and Related Topics:
A Volume in Honour of Professor K D Elworthy
eds. Huaizhong Zhao & Aubrey Truman
Vol. 13: Stochastic Analysis and Applications to Finance:
Essays in Honour of Jia-an Yan
eds. Tusheng Zhang & Xunyu Zhou
Vol. 14
Recent Developments in Computational Finance:
Foundations, Algorithms and Applications
eds. Thomas Gerstner & Peter Kloeden
*For the complete list of titles in this series, please go to
http://www.worldscientific.com/series/ims
Interdisciplinary Mathematical Sciences – Vol. 14
Recent Developments in
Computational Finance
Foundations, Algorithms and Applications
Editors
Thomas Gerstner
Goethe University Frankfurt am Main, Germany
Peter Kloeden
Goethe University Frankfurt am Main, Germany
World Scientific
NEW JERSEY
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LONDON
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SINGAPORE
•
BEIJING
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SHANGHAI
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HONG KONG
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TA I P E I
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CHENNAI
Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office:
27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office:
57 Shelton Street, Covent Garden, London WC2H 9HE
British Library Cataloguing-in-Publication Data
A catalogue record for this book is available from the British Library.
Interdisciplinary Mathematical Sciences — Vol. 14
RECENT DEVELOPMENTS IN COMPUTATIONAL FINANCE
Foundations, Algorithms and Applications
Copyright © 2013 by World Scientific Publishing Co. Pte. Ltd.
All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic
or mechanical, including photocopying, recording or any information storage and retrieval system now known
or to be invented, without written permission from the Publisher.
For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center,
Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from
the publisher.
ISBN 978-981-4436-42-7
Printed in Singapore.

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