Hugendubel.info - Die B2B Online-Buchhandlung 

Merkliste
Die Merkliste ist leer.
Bitte warten - die Druckansicht der Seite wird vorbereitet.
Der Druckdialog öffnet sich, sobald die Seite vollständig geladen wurde.
Sollte die Druckvorschau unvollständig sein, bitte schliessen und "Erneut drucken" wählen.

Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing
BuchGebunden
299 Seiten
Englisch
Springererschienen am27.02.2013
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.mehr
Verfügbare Formate
BuchGebunden
EUR48,14
BuchKartoniert, Paperback
EUR37,44
E-BookPDF1 - PDF WatermarkE-Book
EUR85,59

Produkt

KlappentextThis 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.
ZusammenfassungThis book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Lévy, additive and classes of Feller processes.
Details
ISBN/GTIN978-3-642-35400-7
ProduktartBuch
EinbandartGebunden
Verlag
Erscheinungsjahr2013
Erscheinungsdatum27.02.2013
ReiheSpringer Finance
Seiten299 Seiten
SpracheEnglisch
Gewicht604 g
IllustrationenXIII, 299 p. 56 illus., 47 illus. in color.
Artikel-Nr.18812878
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
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.â- Index.mehr
Kritik
From the book reviews:
"This book ... covers mainly finite element methods for derivative pricing. The book is divided into two parts: 'Basic Techniques and Models' and 'Advanced Techniques and Models'. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance." (Javier de Frutos, Mathematical Reviews, July, 2014)mehr

Schlagworte

Autor