Group for Research in Decision Analysis

Recursive Approaches for the Evaluation of Financial Derivatives

Michèle Breton Professor, Department of Decision Sciences, HEC Montréal, Canada

The evaluation of financial derivatives regularly 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.