Hostname: page-component-74656f9884-8r8nv Total loading time: 0 Render date: 2026-11-08T23:18:27.964Z Has data issue: false hasContentIssue false

Pricing futures by deterministic methods*

Published online by Cambridge University Press:  19 April 2012

Olivier Pironneau
Affiliation:
Université Pierre et Marie Curie, UMR CNRS 7598 Laboratoire Jacques Louis Lions, F-75252 Paris, France E-mail: olivier.pironneau@upmc.fr
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the 'Save PDF' action button.

In this article we will focus on only a small part of financial mathematics, namely the use of partial differential equations for pricing futures. Even within this narrow range it is hard to be systematic and complete, or even to do better than existing books such as Wilmott, Howison and Dewynne (1995), Achdou and Pironneau (2005), or software manuals such as Lapeyre, Martini and Sulem (2010). So this article may be valuable only to the extent that it reflects ten years of teaching, conferences and interaction with the protagonists of financial mathematics.

Also, because the theory of partial differential equations is not always well known, we have chosen a pragmatic approach and left out the details of the theory or the proofs of some results, and refer the reader to other books. The numerical algorithms, on the other hand, are given in detail.

Information

Type
Research Article
Copyright
Copyright © Cambridge University Press 2012