Articles liés à Computational Methods for Option Pricing
Synopsis
This book allows you to understand fully the modern tools of numerical analysis in finance.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Présentation de l'éditeur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
- ÉditeurSociety for Industrial and Applied Mathematics
- Date d'édition2005
- ISBN 10 0898715733
- ISBN 13 9780898715736
- ReliureBroché
- Langueanglais
- Nombre de pages184
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Computational Methods for Option Pricing (Frontiers in Applied Mathematics, Series Number 30)
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Society for Industrial and Applied Mathematics, 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
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Computational Methods for Option Pricing: Series Number 30 (Frontiers in Applied Mathematics, Series Number 30)
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Society for Industrial and Applied Mathematics, 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
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Computational Methods for Option Pricing
Edité par
Society for Industrial and Applied Mathematic, 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
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Computational Methods for Option Pricing (Frontiers in Applied Mathematics, Series Number 30)
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Society for Industrial and Applied Mathematics (edition ), 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
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Computational Methods for Option Pricing: Series Number 30 (Frontiers in Applied Mathematics, Series Number 30)
Edité par
Society for Industrial and Applied Mathematics, 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
Ancien ou d'occasion
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Computational Methods for Option Pricing
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Society For Industrial And Applied Mathematics, 2005
ISBN 10 : 0898715733
ISBN 13 : 9780898715736
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Computational Methods for Option Pricing
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ISBN 10 : 0898715733
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