Computing Financial Derivatives

A Finite-Difference Approach
1. Auflage 2021
ISBN: 978-1-4200-8264-7
Verlag: Taylor & Francis Ltd

Buch, Englisch, 268 Seiten, Format (B × H): 156 mm x 234 mm

Reihe: Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

Zielgruppe

Professional

Autoren/Hrsg.

Rout-Hoolash, Sweta

Lai, Choi-Hong

Frost, Nageena K

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung

Inhaltsverzeichnis

Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.