Finite Element Methods for Derivative Pricing
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Köp båda 2 för 1732 krFrom the book reviews: This book covers mainly finite element methods for derivative pricing. The book is divided into two parts: Basic Techniques and Models and Advanced Techniques and Models. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance. (Javier de Frutos, Mathematical Reviews, July, 2014)
1.Introduction.- Part I.Basic techniques and models: 2.Notions of mathematical finance.- 3.Elements of numerical methods for PDEs.- 4.Finite element methods for parabolic problems.- 5.European options in BS markets.- 6.American options.- 7.Exotic options.- 8.Interest rate models.- 9.Multi-asset options.- 10.Stochastic volatility models-. 11.Lvy models.- 12.Sensitivities and Greeks.- Part II.Advanced techniques and models: 13.Wavelet methods.- 14.Multidimensional diffusion models.- 15.Multidimensional Lvy models.- 16.Stochastic volatility models with jumps.- 17.Multidimensional Feller processes.- Apendices: A.Elliptic variational inequalities.- B.Parabolic variational inequalities.- References.- Index.