10th International Conference on Computational Management

HEC Montréal, 1 — 3 May 2013

10th International Conference on Computational Management

HEC Montréal, 1 — 3 May 2013

Schedule Authors My Schedule

FAP Plenary 3

May 3, 2013 09:00 AM – 10:00 AM

Location: Banque de développement du Canada

Chaired by Berc Rustem

1 Presentation

  • 09:00 AM - 10:00 AM

    Recursive Methods for Pricing Financial Derivatives

    • Michèle Breton, presenter, GERAD, HEC Montréal

    Evaluating financial derivatives regularly requires the use of numerical procedures. The talk will present the basic concepts of recursive modeling, show how it is the basis of most numerical methods for pricing derivatives, and discuss the relative efficiency of existing procedures. Various applications will be presented to illustrate the flexibility and applicability of recursive approaches.

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