Novel Methods in Computational Finance
This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic
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Matthias Ehrhardt Michael Günther E. Jan W. ter Maten Editors
Novel Methods in Computational Finance
MATHEMATICS IN INDUSTRY Editors Hans Georg Bock Frank de Hoog Avner Friedman Arvind Gupta André Nachbin Tohru Ozawa William R. Pulleyblank Torgeir Rusten Fadil Santosa Jin Keun Seo Anna-Karin Tornberg
THE EUROPEAN CONSORTIUM FOR MATHEMATICS IN INDUSTRY SUBSERIES Managing Editor Michael Günther Editors Luis L. Bonilla Otmar Scherzer Wil Schilders
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More information about this series at http://www.springer.com/series/4650
Matthias Ehrhardt • Michael GRunther • E. Jan W. ter Maten Editors
Novel Methods in Computational Finance
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Editors Matthias Ehrhardt Lehrstuhl fRur Angewandte Mathematik/Numerische Analysis Bergische UniversitRat Wuppertal Wuppertal, Germany
Michael GRunther Lehrstuhl fRur Angewandte Mathematik/Numerische Analysis Bergische UniversitRat Wuppertal Wuppertal, Germany
E. Jan W. ter Maten Lehrstuhl für Angewandte Mathematik/Numerische Analysis Bergische UniversitRat Wuppertal Wuppertal, Germany
ISSN 1612-3956 ISSN 2198-3283 (electronic) Mathematics in Industry The European Consortium for Mathematics in Industry ISBN 978-3-319-61281-2 ISBN 978-3-319-61282-9 (eBook) DOI 10.1007/978-3-319-61282-9 Library of Congress Control Number: 2017947686 Mathematics Subject Classification (2010): 65NXX, 91BXX © Springer International Publishing AG 2017 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer International Publishing AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Foreword
The traditional view of computational finance is based on making rather simplistic assumptions about markets and then, using hedging arguments, deriving risk-neutral pricing equations. From a computational point of view,
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