Computational Methods for Quantitative Finance Finite Element Methods for Derivative Pricing
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-C...
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| Autor Corporativo: | |
| Otros Autores: | , , |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2013.
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| Colección: | Springer Finance.
Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32928506*spi |
Tabla de Contenidos:
- 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.
