| 书目名称 | Computational Methods for Quantitative Finance | | 副标题 | Finite Element Metho | | 编辑 | Norbert Hilber,Oleg Reichmann,Christoph Winter | | 视频video | | | 概述 | Offers an accessible introduction to modern deterministic numerical methods of option pricing.Presents methods for all standard European plain vanilla option as well as for widely used exotic derivati | | 丛书名称 | Springer Finance | | 图书封面 |  | | 描述 | .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.. | | 出版日期 | Book 2013 | | 关键词 | 60J75, 60J25, 60J35, 60J75, 65N06, 65K15, 65N12, 65N30; computational finance; derivative pricing beyo | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-35401-4 | | isbn_softcover | 978-3-642-43532-4 | | isbn_ebook | 978-3-642-35401-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2013 |
The information of publication is updating
|
|
发表于 2025-3-21 18:55:15
