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Computational Methods for Option Pricing

Name: Computational Methods for Option Pricing
Brand: Society for Industrial & Applied Mathematics,U.S.
SKU: 9780898715736
Price: 108.61 EUR
Availability: InStock

Autor: Yves AchdouOlivier Pironneau

Jazyk:

Väzba: Brožovaná

Vydavateľ: Society for Industrial & Applied Mathematics,U.S.

Dostupnosť: Skladom u dodávateľa

Odosielame za 14-20 dní

108.61 €

This book is a must for becoming better acquainted with the modern tools of numerical analysis for s...

Informácie o knihe

Autor

Yves AchdouOlivier Pironneau

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2005

Stránok

315

EAN

9780898715736

ISBN

0898715733

Enbook ID

02050164

Vydavateľ

Society for Industrial & Applied Mathematics,U.S.

Hmotnosť

562

Rozmery

152 x 229 x 17

Kompletný popis

This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.

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Computational Methods for Option Pricing

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