Del i serien Financial Engineering Explained

Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance

Inbunden, Engelska, 2017

AvKarel in 't Hout

579 kr

Beställningsvara. Skickas inom 10-15 vardagar. Fri frakt för medlemmar vid köp för minst 249 kr.

Finns i fler format (1)

Häftad

579 kr

Skickas inom 10-15 vardagar

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory.

Produktinformation

Utgivningsdatum2017-09-15
Mått155 x 235 x 15 mm
Vikt398 g
FormatInbunden
SpråkEngelska
SerieFinancial Engineering Explained
Antal sidor128
FörlagPalgrave Macmillan
ISBN9781137435682

Tillhör följande kategorier

Finansiering inom Ekonomi och Ledarskap

Karel in ’t Hout is Associate Professor in the Department of Mathematics and Computer Science at University of Antwerp, specializing in the analysis and development of numerical methods for time-dependent partial differential equations with applications to finance. He has previously held positions as Visiting Professor at Arizona State University, Visiting Professor at Boise State University and Researcher at Leiden University and University of Auckland. Karel has also spent time in the industry, working as quantitative analyst at ABN Amro, Amsterdam. He holds a PhD in Mathematics from Leiden University.

Chapter1. Financial option valuation.-Chapter2. Partial differential equations.- Chapter3 Spatial discretization I.- Chapter4. Spatial discretization II.- Chapter5. Numerical study: space.- Chapter6. The Greeks.- Chapter7. Temporal discretization.- Chapter8. Numerical study: time.- Chapter9. Cash-or-nothing options.- Chapter10. Barrier options.- Chapter11. American-style options.- Chapter12. Merton model.- Chapter13. Two-asset options.