Financial derivative markets have expanded enormously during the last decades, with new asset classes being considered, as well as new financial contracts being defined. Pricing of derivatives contracts, such as financial options on equity, relies heavily on mathematical models that are becoming increasingly complicated and detailed. Typically, a partial (integro-)differential equation, P(I)DE, can be derived for the valuation of a financial derivative contract. Often these equations need to be solved numerically, which requires continuous development of innovative numerical approaches that are tailored for these complicated financial derivatives. This special issue considers the development of novel aspects of numerical methods for these financial pricing problems in a variety of asset classes.
The topics considered in the special issue include:
| • | Discretization methods for P(I)DEs: finite differences, finite elements, sparse grids, radial basis functions, as well as Monte Carlo simulation. | ||||
| • | Stock, credit, and interest rate derivatives. | ||||
| • | American, Bermudan, and European options. | ||||
| • | Stochastic volatility and jump-diffusion models. | ||||
| • | Stochasticity and uncertainty of model parameters. | ||||
| • | Efficient and parallel numerical methods for derivative pricing. | ||||
We thank the reviewers for thorough and prompt reviews. We are also thankful to Professor Abdul Q.M. Khaliq, Editor-in-Chief of IJCM, for his encouragement and guidance, and we wish the reader very enjoyable reading.