Numerical methods in finance

Introduction 1. Convergence of numerical schemes for degenerate parabolic equations arising in finance theory G. Barles 2. Continuous-time Monte Carlo methods and variance reduction Nigel J. Newton 3. Recent advances in numerical methods for pricing derivative securities M. Broad and J. Detemple 4. American options: a comparison of numerical methods F. AitSahlia and P. Carr 5. Fast, accurate and inelegant valuation of American options Adriaan Joubert and L. C. G. Rogers 6. Valuation of American options in a jump-diffusion model Xiao Lan Zhang 7. Some nonlinear methods for studying far-from-the-money contingent claims E. Fournie, J. M. Lasry and P.-L. Lions 8. Stochastic volatility models E. Fournie, J. M. Lasry and N. Touzi 9. Dynamic optimisation for a mixed portfolio with transaction costs Agnes Sulem 10. Imperfect markets and backward stochastic differential equations N. El Karoui and M. C. Quenez 11. Numerical methods for backward stochastic differential equations D. Chevance 12. Viscosity solutions and numerical schemes for investment/consumption models with transaction costs Agnes Tourin and Thaleia Zariphopoulou 13. Does volatility jump or just diffuse? A statistical approach Renzo G. Avesani and Pierre Bertrand 14. Martingale-based hedge error control Peter Bossaerts and Bas Werker 15. The use of second order stochastic dominance to bound European call prices: theory and results Claude Henin and Nathalie Pistre.