Geometrical Approximation and Perturbative methods for PDEs in Finance: Qunatitative Methods in Finance - Couverture souple

Dell'Era, Mario

 
9783659176654: Geometrical Approximation and Perturbative methods for PDEs in Finance: Qunatitative Methods in Finance
Couverture souple
ISBN 10 : 3659176656 ISBN 13 : 9783659176654
Editeur : LAP LAMBERT Academic Publishing, 2012

Synopsis

The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options.

Biographie de l'auteur

Expert of Stochastic Calculus and PDEs, currently external Professor of International Finance at Pisa University. Assignement teaching of Quantitative Finance and Stochastic Processes at Scuola Superiore Sant’Anna in Pisa. Advisor on HFT for italian Public Lawer. Advisor for Scientifica Hiring.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2012
Langue
anglais
ISBN 10 
3659176656
ISBN 13 
9783659176654
Reliure
Broché
Nombre de pages
148
Coordonnées du fabricant
non disponible
Personne responsable
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