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 r�f�rence � une autre �dition de ce titre.

Description de la librairie

BooksRun helps to save money on textbooks. We are committed to providing each customer with the highest standard of customer service. Please pay close attention to the description of the book and its condition you are ordering. If you have any questions or issues, please make sure to contact us first so we could resolve them. All orders are shipped on the same or the next business day. It usually takes 1 to 5 business days to receive your item if you choose expedited shipping. All orders submitted are eligible for a return within 30 days after the delivery. Thanks for shopping with us!

Visitez la page d�accueil du vendeur