Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance

AvKarel in 't Hout

Inbunden, Engelska, 2017

Del i serien Financial Engineering Explained

441 kr

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Häftad

441 kr

Beskrivning

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

Utgivningsdatum:2017-09-15
Mått:155 x 235 x 15 mm
Vikt:398 g
Format:Inbunden
Språk:Engelska
Serie:Financial Engineering Explained
Antal sidor:128
Förlag:Palgrave Macmillan
ISBN:9781137435682

Utforska kategorier

Finansiering inom Ekonomi och Ledarskap

Mer om författaren

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.

Innehållsförteckning

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.