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

Libro 42 de 53: Springer Finance

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

 
9783642435324: Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance)
Tapa blanda
ISBN 10: 3642435327 ISBN 13: 9783642435324
Editorial: Springer, 2015

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

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.

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.?

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2015
Idioma
Inglés
ISBN 10 
3642435327
ISBN 13 
9783642435324
Encuadernación
Tapa blanda
Número de páginas
316
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