Buch, Englisch, 128 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 454 g
An Introduction to Computational Finance
Buch, Englisch, 128 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 454 g
Reihe: Financial Engineering Explained
ISBN: 978-1-349-95381-3
Verlag: Springer Nature Singapore
The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
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.