Seydel Tools for Computational Finance
2. Auflage 2004
ISBN: 978-3-662-22551-6
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 244 Seiten, Web PDF
Reihe: Universitext
ISBN: 978-3-662-22551-6
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
This easy-to-read book offers a snapshot of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. New sections and subsections are devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, numerous exercises, and the addition of more background material make this guide a real must-to-have for everyone working in the world of financial engineering.
Zielgruppe
Graduate
Autoren/Hrsg.
Weitere Infos & Material
1 Modeling Tools for Financial Options.- 2 Generating Random Numbers with Specified Distributions.- 3 Numerical Integration of Stochastic Differential Equations.- 4 Finite Differences and Standard Options.- 5 Finite-Element Methods.- 6 Pricing of Exotic Options.- Appendices.- A1 Financial Derivatives.- A2 Essentials of Stochastics.- A3 The Black-Scholes Equation.- A4 Numerical Methods.- A6 Function Spaces.- A7 Complementary Formula.- References.
