Norbert Hilber

(Author)

Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (2013)Hardcover - 2013, 27 February 2013

Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (2013)
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Part of Series
Springer Finance
Print Length
299 pages
Language
English
Publisher
Springer
Date Published
27 Feb 2013
ISBN-10
3642354009
ISBN-13
9783642354007

Description

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes.

This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

Product Details

Authors:
Norbert HilberOleg ReichmannChristoph SchwabChristoph Winter
Book Edition:
2013
Book Format:
Hardcover
Country of Origin:
NL
Date Published:
27 February 2013
Dimensions:
23.37 x 15.49 x 2.29 cm
Genre:
Economic
ISBN-10:
3642354009
ISBN-13:
9783642354007
Language:
English
Location:
Berlin, Heidelberg
Pages:
299
Publisher:
Weight:
589.67 gm

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