An exact subexponential-time lattice algorithm for Asian options
SODA '04 Proceedings of the fifteenth annual ACM-SIAM symposium on Discrete algorithms
A linear time algorithm for pricing european sequential barrier options
CATS '07 Proceedings of the thirteenth Australasian symposium on Theory of computing - Volume 65
Linear-time option pricing algorithms by combinatorics
Computers & Mathematics with Applications
An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
Proceedings of the 2009 ACM symposium on Applied Computing
On the construction and complexity of the bivariate lattice with stochastic interest rate models
Computers & Mathematics with Applications
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During the past decade many sophisticated mathematical and computational techniques have been developed for analyzing financial markets. Students and professionals intending to work in any area of finance must not only master advanced concepts and mathematical models but must also learn how to implement these models computationally. This comprehensive text combines a thorough treatment of the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practiced in today's capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. The advanced mathematical concepts needed in modern finance are explained at accessible levels. Thus it offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers.