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Session WA1 - Exposé magistral V / Tutorial V

Day Wednesday, May 11, 2005
Location Banque Scotia
Chair Hatem Ben Ameur

Presentations

10h30 AM Efficient Methods in Numerical Finance
  Javier de Frutos, Universidad de Valladolid, Matematica Aplicada y Computacion, Valladolid, Spain, 47011

The choice of a numerical procedure to approximately solve a financial engineering problem depends, among other factors, on the availability, suitability, simplicity and efficiency of the methods. In this talk, we examine the issue of efficiency in numerical finance and present some recently developed numerical procedures through some examples: complex path dependent options, convertible bonds, etc.