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: | , , , |
|---|---|
| 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 |
Indholdsfortegnelse:
- 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