Financial engineering with finite elements

Jürgen Topper - Collection Wiley Finance

360 pages, parution le 08/03/2005

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Résumé

The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics.

Explains little understood techniques that will assist in the accurate more speedy pricing of options
Centres on the practical application of these useful techniques
Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

L'auteur - Jürgen Topper

Jürgen Topper is a Manager of d-fine GmbH, Frankfurt, a company that specialises in financial and commodity risk consulting. Prior to this, he worked for the financial risk management consulting division of Arthur Andersen since 1997.

Sommaire

Preface
List of Symbols
List of Figures
List of Tables
Preliminaries
- Introduction
- Some Prototype Models
- The Conventional Approach: Finite Differences
Finite Elements
- Static 1D Problems
- Dynamic 1D Problems
- Static 2D Problems
- Dynamic 2D Problems
- Static 3D Problems
- Dynamic 3D Problems
- Nonlinear Problems
Outlook
- Future Directions of Research
Appendices
- A: Some Useful Results from Analysis
- B: Some Useful Results from Stochastics
- C: Some Useful Results from Linear Algebra
- D: A Quick Introduction to PDE2D
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Jürgen Topper
Collection	Wiley Finance
Parution	08/03/2005
Nb. de pages	360
Format	17 x 25
Couverture	Relié
Poids	855g
Intérieur	Noir et Blanc
EAN13	9780471486909
ISBN13	978-0-471-48690-9