Computational methods for quantitative finance finite element methods for derivative pricing Norbert Hilber [and others]

Format:

Book

Contributor:

Hilber, Norbert

Series:

Springer finance

Springer finance 1616-0533

Language:

English

Subjects (All):

Derivative securities--Prices--Mathematical models.

Derivative securities.

Finance--Mathematical models.

Finance.

Business mathematics.

Physical Description:

1 online resource

Place of Publication:

Berlin New York Springer ©2013

Language Note:

English

System Details:

text file

PDF

Summary:

This book offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. It presents methods for all standard European plain vanilla option as well as for widely used exotic derivative contracts, such as Barrier, American and multiperiod contracts, and includes coverage of methods for pricing derivatives on baskets, such as Levy Copula models

Contents:

Basic Techniques and Models Notions of Mathematical Finance Elements of Numerical Methods for PDEs Finite Element Methods for Parabolic Problems European Options in BS Markets American Options Exotic Options Interest Rate Models Multi-asset Options Stochastic Volatility Models Lévy Models Sensitivities and Greeks Advanced Techniques and Models Wavelet Methods Multidimensional Diffusion Models Multidimensional Lévy Models Stochastic Volatility Models with Jumps Multidimensional Feller Processes

Notes:

Includes bibliographical references and index

Other Format:

Print Version Hilber, Norbert. Computational methods for quantitative finance

ISBN:

9783642354014

3642354017

9783642354007

3642354009

OCLC:

828628096

Access Restriction:

Restricted for use by site license