SciCADE 2013
International Conference on Scientific Computation and Differential Equations
September 16-20, 2013, Valladolid (Spain)

Invited Talk

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Numerical approaches for the evaluation of derivative securities

M. Breton

The evaluation of financial derivatives or of regulatory adjustments regularly requires the use of numerical procedures. In practice, these procedures are used repeatedly and are required to provide precise values in a few seconds. In the last few years, dynamic programming coupled with interpolation has been shown to be an efficient and flexible approach for the evaluation of complex products. After an overview of classical numerical methods, we present the basic concepts of recursive modeling. Application examples are used to illustrate the flexibility and applicability of recursive models. We finally compare the efficiency of various interpolation and integration approaches.

Organized by         Universidad de Valladolid     IMUVA