HEC Montréal, Canada, May 6 - 8, 2013

2013 Optimization Days

HEC Montréal, Canada, 6 — 8 May 2013

Schedule Authors My Schedule

MA1 Exposé magistral I / Tutorial I

May 6, 2013 10:30 AM – 12:10 PM

Location: Banque Scotia

Chaired by Olivier Bahn

1 Presentation

  • 10:30 AM - 12:00 PM

    Recursive Approaches for the Evaluation of Financial Derivatives

    • Michèle Breton, presenter, GERAD, HEC Montréal

    The evaluation of financial derivatives generally 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.