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Workshop

Thursday, April 21, 2005 10:00

Pricing of callable financial instruments in high dimensions

Dariusz Gatarek (NumeriX LLC, London, United Kingdom)

G3 10 (Lecture hall)

Abstract

Bullet points. Bushy trees; Lattices Trinomial trees in various dimensions; Stochastic mesh; Longstaff-Schwartz method; Additive noise; Hermite polynomials; Wick formula.

conference

4/20/05 4/22/05

Workshop Stochastic Analysis and Applications in Finance

MPI für Mathematik in den Naturwissenschaften Leipzig A3 01 (Sophus-Lie room)

See Details

Katja Bieling

Max Planck Institute for Mathematics in the Sciences, Leipzig Contact via Mail

Rüdiger Frey

Universität Leipzig

Thorsten Schmidt

Universität Leipzig

Stefan Müller

Max Planck Institute for Mathematics in the Sciences