Ebook: Tools for Computational Finance
Author: Rüdiger Seydel (auth.)
- Tags: Quantitative Finance, Numerical Analysis
- Series: Universitext
- Year: 2004
- Publisher: Springer Berlin Heidelberg
- Language: English
- pdf
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
"This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." -- SIAM review (46, 2004)
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
"This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." -- SIAM review (46, 2004)
Content:
Front Matter....Pages I-XVI
Modeling Tools for Financial Options....Pages 1-55
Generating Random Numbers with Specified Distributions....Pages 57-83
Numerical Integration of Stochastic Differential Equations....Pages 85-107
Finite Differences and Standard Options....Pages 109-150
Finite-Element Methods....Pages 151-174
Pricing of Exotic Options....Pages 175-202
Back Matter....Pages 203-244
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
"This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." -- SIAM review (46, 2004)
Content:
Front Matter....Pages I-XVI
Modeling Tools for Financial Options....Pages 1-55
Generating Random Numbers with Specified Distributions....Pages 57-83
Numerical Integration of Stochastic Differential Equations....Pages 85-107
Finite Differences and Standard Options....Pages 109-150
Finite-Element Methods....Pages 151-174
Pricing of Exotic Options....Pages 175-202
Back Matter....Pages 203-244
....