Résumé
This book provides a practical introduction to Computational Finance, formulating methods and algorithms that can be implemented and used. The first part presents basic features of options and mathematical models and the foundations of simulation methods such as Monte Carlo methods. The main topic of the book is the valuation of options based on the partial differential equations and inequalities of Black and Scholes. Basic approaches of finite-difference and finite-element methods are explained.
The book is written in a vivid concise style, with a minimum of formalism and focussing on readability. Numerous figures and and many examples illustrate the concepts. An extensive appendix provides additional material for readers with little background in finance, stochastics, or computational methods.
Contents
- Modeling Tools for Financial Options
- Generating Random Numbers with Specified Distributions
- Numerical Integration of Stochastic Differential Equations
- Finite Differences and Standard Options
- Finite-Element Methods
- Pricing of Exotic Options
- Appendices
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Springer |
| Auteur(s) | Rüdiger Seydel |
| Parution | 19/06/2002 |
| Nb. de pages | 224 |
| Format | 15,5 x 23,5 |
| Couverture | Broché |
| Poids | 377g |
| Intérieur | Noir et Blanc |
| EAN13 | 9783540436096 |
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