|
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.
|