INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9783642354014
NATIONAL BIBLIOGRAPHY NUMBER
Country Code
IR
Number
EN-52333
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
COUNTRY OF PUBLICATION OR PRODUCTlON
Country of publication
IR
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Computational Methods for Quantitative Financ
General Material Designation
[Book]
Other Title Information
:Finite Element Methods for Derivative Pricing
First Statement of Responsibility
/ by Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Berlin, Heidelberg
Name of Publisher, Distributor, etc.
: Springer Berlin Heidelberg :Imprint: Springer,
Date of Publication, Distribution, etc.
, 2013.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
XIII, 299 p. 57 illus., 48 illus. in color., online resource.
SERIES
Series Title
(Springer Finance,1616-0533)
NOTES PERTAINING TO PUBLICATION, DISTRIBUTION, ETC.
Text of Note
Electronic
CONTENTS NOTE
Text of Note
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?شvy 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?شvy, additive and certain classes of Feller processes. The volume 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.
Text of Note
1.Introduction -- Part I.Basic techniques and models: 2.Notions of mathematical finance -- 3.Elements of numerical methods for PDEs -- 4.Finite element methods for parabolic problems -- 5.European options in BS markets -- 6.American options -- 7.Exotic options -- 8.Interest rate models -- 9.Multi-asset options -- 10.Stochastic volatility models-. 11.L?شvy models -- 12.Sensitivities and Greeks -- Part II.Advanced techniques and models: 13.Wavelet methods -- 14.Multidimensional diffusion models -- 15.Multidimensional L?شvy models -- 16.Stochastic volatility models with jumps -- 17.Multidimensional Feller processes -- Apendices: A.Elliptic variational inequalities -- B.Parabolic variational inequalities -- References. - Index.?╗╣
SERIES
Title
Springer Finance,1616-0533
TOPICAL NAME USED AS SUBJECT
Mathematics
Finance
Numerical analysis
Distribution (Probability theory)
Electronic books
LIBRARY OF CONGRESS CLASSIFICATION
Class number
E-BOOK
PERSONAL NAME - PRIMARY RESPONSIBILITY
Hilber, Norbert.
PERSONAL NAME - SECONDARY RESPONSIBILITY
Reichmann, Oleg
Schwab, Christoph
Winter, Christoph
SpringerLink (Online service)
ORIGINATING SOURCE
Country
ایران
ELECTRONIC LOCATION AND ACCESS
Host name
9783642354007.pdf
Access number
عادی
Compression information
عادی
Date and Hour of Consultation and Access
9783642354007.pdf
Electronic Format Type
متن
old catalog
e
BL
1
a
Y
