HEC Montréal, Canada, 6 - 8 mai 2013
Journées de l'optimisation 2013
HEC Montréal, Canada, 6 — 8 mai 2013
MA1 Exposé magistral I / Tutorial I
6 mai 2013 10h30 – 12h10
Salle: Banque Scotia
Présidée par Olivier Bahn
1 présentation
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10h30 - 12h00
Recursive Approaches for the Evaluation of Financial Derivatives
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.