Yves Achdou's Books

Mean Field Games

Cetraro, Italy 2019

By: Yves Achdou,Pierre Cardaliaguet,François Delarue,Alessio Porretta,Filippo Santambrogio

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Mean Field Games

Cetraro, Italy 2019

By: Yves Achdou,Pierre Cardaliaguet,François Delarue,Alessio Porretta,Filippo Santambrogio

This volume provides an introduction to the theory of Mean Field Games, suggested by J.-M. Lasry and P.-L. Lions in 2006 as a mean-field model for Nash equilibria in the strategic interaction of a large number of agents. Besides giving an accessible presentation of the main features of mean-field game theory, the volume offers an overview of recent developments which explore several important directions: from partial differential equations to stochastic analysis, from the calculus of variations to modeling and aspects related to numerical methods. Arising from the CIME Summer School "Mean Field Games" held in Cetraro in 2019, this book collects together lecture notes prepared by Y. Achdou (with M. Laurière), P. Cardaliaguet, F. Delarue, A. Porretta and F. Santambrogio. These notes will be valuable for researchers and advanced graduate students who wish to approach this theory and explore its connections with several different fields in mathematics.

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Page Count

316

Publisher

Springer Nature

Published Date

ISBN 10

3030598373

ISBN 13

9783030598372

Computational Methods for Option Pricing

By: Yves Achdou,Olivier Pironneau

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Computational Methods for Option Pricing

By: Yves Achdou,Olivier Pironneau

The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.

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Page Count

315

Publisher

SIAM

Published Date

ISBN 10

0898717493

ISBN 13

9780898717495

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Cetraro, Italy 2011, Editors: Paola Loreti, Nicoletta Anna Tchou

By: Yves Achdou,Guy Barles,Hitoshi Ishii,Grigory L. Litvinov

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Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Cetraro, Italy 2011, Editors: Paola Loreti, Nicoletta Anna Tchou

By: Yves Achdou,Guy Barles,Hitoshi Ishii,Grigory L. Litvinov

These Lecture Notes contain the material relative to the courses given at the CIME summer school held in Cetraro, Italy from August 29 to September 3, 2011. The topic was "Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications". The courses dealt mostly with the following subjects: first order and second order Hamilton-Jacobi-Bellman equations, properties of viscosity solutions, asymptotic behaviors, mean field games, approximation and numerical methods, idempotent analysis. The content of the courses ranged from an introduction to viscosity solutions to quite advanced topics, at the cutting edge of research in the field. We believe that they opened perspectives on new and delicate issues. These lecture notes contain four contributions by Yves Achdou (Finite Difference Methods for Mean Field Games), Guy Barles (An Introduction to the Theory of Viscosity Solutions for First-order Hamilton-Jacobi Equations and Applications), Hitoshi Ishii (A Short Introduction to Viscosity Solutions and the Large Time Behavior of Solutions of Hamilton-Jacobi Equations) and Grigory Litvinov (Idempotent/Tropical Analysis, the Hamilton-Jacobi and Bellman Equations).

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316

Publisher

Springer

Published Date

ISBN 10

3642364330

ISBN 13

9783642364334

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Cetraro, Italy 2011, Editors: Paola Loreti, Nicoletta Anna Tchou

By: Yves Achdou,Guy Barles,Hitoshi Ishii,Grigory L. Litvinov

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Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Cetraro, Italy 2011, Editors: Paola Loreti, Nicoletta Anna Tchou

By: Yves Achdou,Guy Barles,Hitoshi Ishii,Grigory L. Litvinov

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Solve jigsaw puzzle

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Page Count

316

Publisher

Springer

Published Date

ISBN 10

3642364330

ISBN 13

9783642364334

Computational Methods for Option Pricing

By: Yves Achdou,Olivier Pironneau

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Computational Methods for Option Pricing

By: Yves Achdou,Olivier Pironneau

This book allows you to understand fully the modern tools of numerical analysis in finance.

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Page Count

308

Publisher

SIAM

Published Date

ISBN 10

0898715733

ISBN 13

9780898715736

Book's by Yves Achdou

Mean Field Games

Mean Field Games

Computational Methods for Option Pricing

Computational Methods for Option Pricing

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Hamilton-Jacobi Equations: Approximations, Numerical Analysis and Applications

Computational Methods for Option Pricing

Computational Methods for Option Pricing

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