Tools for Computational Finance [electronic resource] / by Rüdiger U. Seydel
- Author
- Seydel, Rüdiger U.
- Published
- London : Springer London, 2012.
- Edition
- 5th ed. 2012.
- Physical Description
- XVII, 429 pages 98 illustrations : digital
- Additional Creators
- SpringerLink (Online service)
Access Online
- Series
- Contents
- Modeling Tools for Financial Options -- Generating Random Numbers with Specified Distributions -- Monte Carlo Simulation with Stochastic Differential Equations -- Standard Methods for Standard Options -- Finite-Element Methods -- Pricing of Exotic Options -- Beyond Black and Scholes.
- Summary
- Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches.Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains:A new chapter on incomplete markets, which links to new appendices on viscosity solutions and the Dupire equation;Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7)Additional material in the field of analytical methods including Kim’s integral representation and its computationGuidelines for comparing algorithms and judging their efficiencyAn extended chapter on finite elements that now includes a discussion of two-asset optionsAdditional exercises, figures and referencesWritten from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world.Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.
- Subject(s)
- Other Subject(s)
- Genre(s)
- ISBN
- 9781447129936
- Note
- AVAILABLE ONLINE TO AUTHORIZED PSU USERS.
- Part Of
- Springer eBooks
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