Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing - Couverture rigide

Hilber, Norbert; Reichmann, Oleg; Schwab, Christoph; Winter, Christoph

9783642354007: Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing

Couverture rigide

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2013

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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-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used L�vy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to L�vy, additive and certain classes of Feller processes.

This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.

Les informations fournies dans la section � Synopsis � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Date d'�dition: 2013
Langue: anglais
ISBN 10: 3642354009
ISBN 13: 9783642354007
Reliure: Reli�
Nombre de pages: 299
Coordonn�es du fabricant: non disponible
Personne responsable: CMN Printpool Inh. Mathis Neumann
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Computational Methods for Quantitative Finance

Norbert Hilber|Oleg Reichmann|Christoph Schwab|Christoph Winter

Edit� par Springer Berlin Heidelberg, 2013

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

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Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance)

Hilber, Norbert; Reichmann, Oleg; Schwab, Christoph; Winter, Christoph

Edit� par Springer, 2013

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

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Computational Methods for Quantitative Finance : Finite Element Methods for Derivative Pricing

Norbert Hilber

Edit� par Springer Berlin Heidelberg, 2013

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

Neuf Couverture rigide

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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used L�vy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to L�vy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. N� de r�f. du vendeur 9783642354007

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Computational Methods for Quantitative Finance

Norbert Hilber

Edit� par Springer Berlin Heidelberg Feb 2013, 2013

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

Neuf Couverture rigide

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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used L�vy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to L�vy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. 316 pp. Englisch. N� de r�f. du vendeur 9783642354007

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Computational Methods for Quantitative Finance

Norbert Hilber

Edit� par Springer Berlin Heidelberg, Springer Berlin Heidelberg Feb 2013, 2013

ISBN 10 : 3642354009 ISBN 13 : 9783642354007

Neuf Couverture rigide

Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne

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Buch. Etat : Neu. Neuware -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-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used L�vy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to L�vy, additive and certain classes of Feller processes.This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.�Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 316 pp. Englisch. N� de r�f. du vendeur 9783642354007

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