An Introduction to Particle Methods with Financial Applications

René Carmona (1) , Pierre del Moral (2, 3) , Peng Hu (3) , Nadia Oudjane (4, 5)

1 ORFE - Department of Operations Research and Financial Engineering
2 IMB - Institut de Mathématiques de Bordeaux
3 ALEA - Advanced Learning Evolutionary Algorithms
4 LAGA - Laboratoire Analyse, Géométrie et Applications
5 EDF - EDF

René Carmona, Pierre del Moral, Peng Hu, Nadia Oudjane. An Introduction to Particle Methods with Financial Applications. R. Carmona and P. Del Moral and P. Hu and N. Oudjane. Numerical methods in finance, 12, Springer, pp.3-49, 2012, Proceedings in mathematics. ⟨hal-00641132⟩