Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

AvNorbert Hilber,Oleg Reichmann

Häftad, Engelska, 2015

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2015-03-07
Mått:155 x 235 x 18 mm
Vikt:482 g
Format:Häftad
Språk:Engelska
Serie:Springer Finance
Antal sidor:299
Upplaga:2013
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642435324

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Recensioner i media

From 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)

Innehållsförteckning

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.Lévy models.- 12.Sensitivities and Greeks.- Part II.Advanced techniques and models: 13.Wavelet methods.- 14.Multidimensional diffusion models.- 15.Multidimensional Lévy models.- 16.Stochastic volatility models with jumps.- 17.Multidimensional Feller processes.- Apendices: A.Elliptic variational inequalities.- B.Parabolic variational inequalities.- References.- Index.