Sparse wavelet methods for contingent claim valuation within stochastic volatility models

Metadata only

Author

Date

2004

Type

Conference Paper

ETH Bibliography

yes

Altmetrics

Publication status

published

Editor

Book title

Proceedings / ECCOMAS 2004, 4th European Congress on Computational Methods in Applied Sciences and Engineering : Jyväskylä, Finland, 24-28 July 2004

Publisher

Eccomas

Event

4th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS 2004), July 24-28, 2004

Subject

Stochastic volatility models; Degenerate parabolic partial differential equations; Wavelets; Sparse grids; Multilevel-preconditioning

Organisational unit

03435 - Schwab, Christoph / Schwab, Christoph

Notes

Proceedings available on CD-ROM.

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ETH Bibliography

yes

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