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...
保存先:
| 主要な著者: | , , , |
|---|---|
| フォーマット: | Livre numérique |
| 言語: | Anglais |
| 出版事項: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| 版: | 1st ed. 2013. |
| シリーズ: | Springer Finance
|
| オンライン･アクセス: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| 注記: |
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 |
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| 100 | 1 | |a Hilber, Norbert, |d 1972- | |
| 245 | 1 | 0 | |a Computational Methods for Quantitative Finance : |b Finite Element Methods for Derivative Pricing |c by Norbert Hilber, Oleg Reichmann, Christoph Schwab ... [et al.]. |
| 250 | |a 1st ed. 2013. | ||
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 0 | |a Springer Finance |x 2195-0687 | |
| 500 | |a Autre contribution : Christoph Winter (auteur) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Références bibliogr. à la fin des chapitres, index | ||
| 505 | 1 | |a 1.Introduction Part I.Basic techniques and models: 2.Notions of mathematical finance 3.Elements of numerical methods for PDEs 4.Finite element methods for parabolic problems 5.European options in BS markets 6.American options 7.Exotic options 8.Interest rate models 9.Multi-asset options 10.Stochastic volatility models-. 11.Lévy models 12.Sensitivities and Greeks Part II.Advanced techniques and models: 13.Wavelet methods 14.Multidimensional diffusion models 15.Multidimensional Lévy models 16.Stochastic volatility models with jumps 17.Multidimensional Feller processes Apendices: A.Elliptic variational inequalities B.Parabolic variational inequalities References. - Index | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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. | ||
| 700 | 1 | |a Reichmann, Oleg, |d 19..- |4 aut | |
| 700 | 1 | |a Schwab, Christoph, |d 1962- |4 aut | |
| 700 | 1 | |a Winter, Christoph, |d 1979- |4 aut | |
| 776 | 0 | |0 170481735 |t Computational methods for quantitative finance |o finite element methods for derivative pricing |f by Norbert Hilber, Oleg Reichmann, Christoph Schwab ... [et al.] |c Berlin, Heidelberg |n Springer Berlin Heidelberg |d 2013 |z 978-3-642-35400-7 | |
| 776 | 0 | |t Computational Methods for Quantitative Finance |b Texte imprimé |z 9783642435324 | |
| 776 | 0 | |t Computational Methods for Quantitative Finance |b Texte imprimé |z 9783642354021 | |
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