Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance) - Tapa dura

Libro 42 de 53: Springer Finance

Schwab, Christoph; Hilber, Norbert; Reichmann, Oleg

 
9783642354007: Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance)
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ISBN 10: 3642354009 ISBN 13: 9783642354007
Editorial: Springer, 2013

Sinopsis

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. 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. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes.

This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

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De la contraportada

<p>Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. 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. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. </p><p>The volume is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.?</p>

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Editorial
Springer
Año de publicación
2013
Idioma
Inglés
ISBN 10 
3642354009
ISBN 13 
9783642354007
Encuadernación
Tapa dura
Número de páginas
316
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania

Otras ediciones populares con el mismo título

9783642435324: Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance)

Edición Destacada

ISBN 10:  3642435327 ISBN 13:  9783642435324
Editorial: Springer, 2015
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