@inproceedings{59d4e69c9355423da9173dbf1af5b862,
title = "An Introduction to Particle Methods with Financial Applications",
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.",
keywords = "Advanced Monte Carlo, Feynman-Kac, Interacting particle system",
author = "Carmona, {Rene A.} and {Del Moral}, Pierre and Peng Hu and Nadia Oudjane",
year = "2012",
doi = "10.1007/978-3-642-25746-9_1",
language = "English (US)",
isbn = "9783642257452",
series = "Springer Proceedings in Mathematics",
pages = "3--49",
booktitle = "Numerical Methods in Finance",
note = "Workshop on Numerical Methods in Finance ; Conference date: 01-06-2010 Through 02-06-2010",
}