Computational Methods for Quantitative Finance : Finite Element Methods for Derivative Pricing
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-C...
Enregistré dans:
| Auteurs principaux: | , , , |
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| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2013. |
| Serier: | Springer Finance
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| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Autre contribution : Christoph Winter (auteur) Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Computational methods for quantitative finance, finite element methods for derivative pricing, by Norbert Hilber, Oleg Reichmann, Christoph Schwab ... [et al.], Berlin, Heidelberg, Springer Berlin Heidelberg, 2013, 978-3-642-35400-7 • Computational Methods for Quantitative Finance, Texte imprimé, 9783642435324 • Computational Methods for Quantitative Finance, Texte imprimé, 9783642354021 |
| Summary: | Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. The volume is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. |
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| Emne beskrivelse: | Autre contribution : Christoph Winter (auteur) Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografi: | Références bibliogr. à la fin des chapitres, index |
| ISBN: | 3642354009 9783642354014 |
| ISSN: | 2195-0687 |
| Adgang: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |