An Introduction to Particle Methods with Financial Applications

Rene A. Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane

Research output: Chapter in Book/Report/Conference proceedingConference contribution

7 Scopus citations

Abstract

The aim of this article is to give a general introduction to the theory of interacting particle methods, and an overview of its applications to computational finance. We survey the main techniques and results on interacting particle systems and explain how they can be applied to the numerical solution of a variety of financial applications such as pricing complex path dependent European options, computing sensitivities, pricing American options or numerically solving partially observed control and estimation problems.

Original languageEnglish (US)
Title of host publicationNumerical Methods in Finance
Pages3-49
Number of pages47
DOIs
StatePublished - Dec 1 2012
EventWorkshop on Numerical Methods in Finance - Bordeaux, France
Duration: Jun 1 2010Jun 2 2010

Publication series

NameSpringer Proceedings in Mathematics
Volume12
ISSN (Print)2190-5614
ISSN (Electronic)2190-5622

Other

OtherWorkshop on Numerical Methods in Finance
CountryFrance
CityBordeaux
Period6/1/106/2/10

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Statistics, Probability and Uncertainty

Keywords

  • Advanced Monte Carlo
  • Feynman-Kac
  • Interacting particle system

Fingerprint Dive into the research topics of 'An Introduction to Particle Methods with Financial Applications'. Together they form a unique fingerprint.

  • Cite this

    Carmona, R. A., Del Moral, P., Hu, P., & Oudjane, N. (2012). An Introduction to Particle Methods with Financial Applications. In Numerical Methods in Finance (pp. 3-49). (Springer Proceedings in Mathematics; Vol. 12). https://doi.org/10.1007/978-3-642-25746-9_1