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Editorial: Computational methods for PDEs in finance

Journal Article


Abstract


  • Financial derivative markets have expanded enormously during the last decades, with new asset

    classes being considered, as well as new financial contracts being defined. Pricing of derivatives

    contracts, such as financial options on equity, relies heavily on mathematical models that

    are becoming increasingly complicated and detailed. Typically, a partial (integro-)differential

    equation, P(I)DE, can be derived for the valuation of a financial derivative contract. Often these

    equations need to be solved numerically, which requires continuous development of innovative

    numerical approaches that are tailored for these complicated financial derivatives. This special

    issue considers the development of novel aspects of numerical methods for these financial pricing

    problems in a variety of asset classes.

Authors


  •   Toivanen, J (external author)
  •   Oosterlee, C (external author)
  •   Zhu , Song-Ping

Publication Date


  • 2012

Citation


  • Toivanen, J., Oosterlee, C. W. & Zhu, S. (2012). Editorial: Computational methods for PDEs in finance. International Journal of Computer Mathematics, 89 (9), 1093-1093.

Scopus Eid


  • 2-s2.0-84862162304

Number Of Pages


  • 0

Start Page


  • 1093

End Page


  • 1093

Volume


  • 89

Issue


  • 9

Place Of Publication


  • United Kingdom

Abstract


  • Financial derivative markets have expanded enormously during the last decades, with new asset

    classes being considered, as well as new financial contracts being defined. Pricing of derivatives

    contracts, such as financial options on equity, relies heavily on mathematical models that

    are becoming increasingly complicated and detailed. Typically, a partial (integro-)differential

    equation, P(I)DE, can be derived for the valuation of a financial derivative contract. Often these

    equations need to be solved numerically, which requires continuous development of innovative

    numerical approaches that are tailored for these complicated financial derivatives. This special

    issue considers the development of novel aspects of numerical methods for these financial pricing

    problems in a variety of asset classes.

Authors


  •   Toivanen, J (external author)
  •   Oosterlee, C (external author)
  •   Zhu , Song-Ping

Publication Date


  • 2012

Citation


  • Toivanen, J., Oosterlee, C. W. & Zhu, S. (2012). Editorial: Computational methods for PDEs in finance. International Journal of Computer Mathematics, 89 (9), 1093-1093.

Scopus Eid


  • 2-s2.0-84862162304

Number Of Pages


  • 0

Start Page


  • 1093

End Page


  • 1093

Volume


  • 89

Issue


  • 9

Place Of Publication


  • United Kingdom