Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

Häftad, Engelska, 2015

Av Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter

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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.

Produktinformation

Utgivningsdatum2015-03-07
Mått155 x 235 x 18 mm
Vikt482 g
FormatHäftad
SpråkEngelska
SerieSpringer Finance
Antal sidor299
Upplaga2013
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642435324

Tillhör följande kategorier

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.

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)