1 option
Quantitative methods for finance with simulations II Numerical methods and Monte Carlo integration Geon Ho Choe
Springer Nature - Springer Mathematics and Statistics (R0) eBooks 2026 English International Available online
View online- Format:
- Book
- Author/Creator:
- Choe, Geon Ho, author.
- Series:
- Springer texts in business and economics 2192-4341
- Springer Texts in Business and Economics 2192-4341
- Language:
- English
- Subjects (All):
- Finance--Mathematical models.
- Finance.
- Finance--Computer simulation.
- Stochastic analysis.
- Physical Description:
- 1 online resource
- Edition:
- 1st ed.
- Other Title:
- Numerical methods and Monte Carlo integration
- Quantitative methods for finance with simulations 2
- Place of Publication:
- Cham Springer 2026
- Summary:
- This self-contained book is the second of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods. This volume covers numerical methods, including numerical solutions of ordinary and partial differential equations such as the Black-Scholes-Merton equation, as well as stochastic differential equations, Monte Carlo methods, estimation of implied volatility, stochastic volatility models, and Fourier transform methods for option pricing. The numerical methods are implemented in both Matlab and Python. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum
- Contents:
- Numerical Methods for Ordinary Differential Equations
- The Second Order Linear Partial Differential Equations
- Numerical Methods for Elliptic Equations
- Numerical Methods for Parabolic Equations
- Numerical Methods for Hyperbolic Equations
- Numerical Methods for the Black Scholes Merton Equation
- Numerical Methods for Pricing American Put Options
- Numerical Methods for Stochastic Differential Equations
- Multidimensional Brownian Motion
- Multidimensional Itô Calculus
- The Multi-asset Black Scholes Merton Equation
- Random Numbers
- The Monte Carlo Method
- The Monte Carlo Method for Option Pricing
- Historical Volatility
- Numerical Methods for Finding Zeros of a Function
- Numerical Computation of Implied Volatility
- Recursive Methods for Pricing of Asian Options
- A Control Variate Method Based On Conditioning
- Stochastic Volatility
- Heston's Stochastic Volatility Model
- Option Pricing Formula Under the Heston Model
- Numerical Methods for the Heston Formula
- Fourier Transforms for Stochastic Processes
- Option Pricing by the Fourier Transform
- Notes:
- Includes bibliographical references and index
- Online resource; title from PDF title page (SpringerLink, viewed May 19, 2026)
- Other Format:
- Print version Choe, Geon Ho Quantitative Methods for Finance with Simulations II
- ISBN:
- 9783032123312
- 3032123313
- OCLC:
- 1592065792
- Publisher Number:
- CIPO000372842
- Access Restriction:
- Restricted for use by site license
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