Computational Methods for Quantitative Finance (e-bok)
Fler böcker inom
Format
E-bok
Filformat
PDF med LCP-kryptering (0.0 MB)
Om LCP-kryptering
PDF-böcker lämpar sig inte för läsning på små skärmar, t ex mobiler.
Nedladdning
Kan laddas ned under 24 månader, dock max 6 gånger.
Språk
Engelska
Utgivningsdatum
2013-02-15
Förlag
Springer Berlin Heidelberg
ISBN
9783642354014

Computational Methods for Quantitative Finance E-bok

Finite Element Methods for Derivative Pricing

av Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
E-bok (PDF, LCP),  Engelska, 2013-02-15
1160
Ladda ned
Spara som favorit
Läs i Bokus Reader för iOS och Android
Finns även som
Visa alla 2 format & utgåvor
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 Levy 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 Levy, 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.?
Visa hela texten

Kundrecensioner

Har du läst boken? Sätt ditt betyg »

Fler böcker av författarna

Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter

Du kanske gillar