Tools for Computational Finance
Seiten
2009
|
4., th ed.
Springer Berlin (Verlag)
978-3-540-92928-4 (ISBN)
Springer Berlin (Verlag)
978-3-540-92928-4 (ISBN)
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This book covers basic computational issues arising in financial mathematics. This edition offers major revisions around such topics as calibration, Monte Carlo Methods, American options, and exotic options. It includes new figures and more exercises.
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
Modelling Tools for Financial Options.- Generating Random Numbers with Specified Distributions.- Simulation with Stochastic Differential Equations.- Standard Methods for Standard Options.- Finite-Element Methods.- Pricing of Exotic Options.- Appendices.
| Reihe/Serie | Universitext |
|---|---|
| Sprache | englisch |
| Maße | 193 x 260 mm |
| Gewicht | 546 g |
| Einbandart | Paperback |
| Themenwelt | Wirtschaft ► Allgemeines / Lexika |
| Schlagworte | Black-Scholes-Equation • Computational Finance • Derivative pricing • exotic options • Finanzmathematik • finite elements • mathematical finance • Modeling tools • Monte Carlo methods • PDE methods • random number generation |
| ISBN-10 | 3-540-92928-2 / 3540929282 |
| ISBN-13 | 978-3-540-92928-4 / 9783540929284 |
| Zustand | Neuware |
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