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Pricing futures by deterministic methods*

Published online by Cambridge University Press:  19 April 2012

Olivier Pironneau
Olivier Pironneau
Affiliation:
Université Pierre et Marie Curie, UMR CNRS 7598 Laboratoire Jacques Louis Lions, F-75252 Paris, France E-mail: [email protected]
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Abstract

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.

Type
Research Article
Information
Acta Numerica , Volume 21 , May 2012 , pp. 577 - 671
Copyright
Copyright © Cambridge University Press 2012

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References

* Colour online for monochrome figures available at journals.cambridge.org/anu.