Computational Methods for Option Pricing - Couverture souple

Achdou, Yves; Pironneau, Olivier

 
9780898715736: Computational Methods for Option Pricing
Couverture souple
ISBN 10 : 0898715733 ISBN 13 : 9780898715736
Editeur : Society for Industrial and Applied Mathematics, 2005

Synopsis

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 « 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.

Éditeur
Society for Industrial and Applied Mathematics
Date d'édition
2005
Langue
anglais
ISBN 10 
0898715733
ISBN 13 
9780898715736
Reliure
Broché
Nombre de pages
184
Coordonnées du fabricant
non disponible
Personne responsable
non disponible