Computational Methods for Option Pricing

Achdou, Yves; Pironneau, Olivier

ISBN 10: 0898715733 / ISBN 13: 9780898715736

Edité par Society for Industrial and Applied Mathematic, 2005

A propos de cet article

Pages can have notes/highlighting. Spine may show signs of wear. ~ ThriftBooks: Read More, Spend Less 1.01. N° de réf. du vendeur G0898715733I3N00

Détails bibliographiques

Titre : Computational Methods for Option Pricing

Éditeur : Society for Industrial and Applied Mathematic

Date d'édition : 2005

Reliure : Paperback

Etat : Good

Etat de la jaquette : No Jacket

A propos de ce titre

Synopsis :

This book allows you to understand fully the modern tools of numerical analysis in finance.

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.