Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance

Häftad, Engelska, 2018

Av Karel in 't Hout, Karel In 't Hout, Karel In 'T Hout

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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

Utgivningsdatum2018-08-11
Mått155 x 235 x undefined mm
Vikt454 g
FormatHäftad
SpråkEngelska
SerieFinancial Engineering Explained
Antal sidor128
FörlagPalgrave Macmillan
ISBN9781349953813

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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.