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Carte Computational Methods for Option Pricing Yves AchdouOlivier Pironneau

Computational Methods for Option Pricing

Autor: Yves AchdouOlivier Pironneau
Limbă: engleză
Legare: Carte broșată
Editura: Society for Industrial & Applied Mathematics,U.S.
Disponibilitate: În depozitul extern
Expediem în 14-20 zile
568.56 lei
This book is a must for becoming better acquainted with the modern tools of numerical analysis for s...

Informații despre carte

Autor
Yves AchdouOlivier Pironneau
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2005
Pagini
315
EAN
9780898715736
ISBN
0898715733
Enbook ID
02050164
Editura
Society for Industrial & Applied Mathematics,U.S.
Greutate
562
Dimensiuni
152 x 229 x 17

Descriere completă

This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.

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