Titlebook: Numerical Partial Differential Equations in Finance Explained; An Introduction to C Karel in ‘t Hout Book 2017 The Editor(s) (if applicable

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Karel in ’t Houtf mathematics and computer science?.Includes supplementary m.This book contains papers presented at the Workshop on the Analysis of Large-scale, High-Dimensional, and Multi-Variate Data Using Topology and Statistics, held in Le Barp, France, June 2013. It features the work of some of the most promin

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an outline of both the topological theory and the uniform theory, with an emphasis on the relation between the two. Although I hope that the prospec­ tive specialist may find it useful as an introduction it is the non-specialist I have had more in mind in selecting the contents. Thus I have tended

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Spatial Discretization II,e various boundary conditions from Chapter 2. We then discuss nonuniform spatial grids and consider the numerical treatment of nonsmooth initial functions, which are omnipresent in financial applications. The chapter concludes with a useful mixed central/upwind discretization.

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The Greeks,ion value to changes in the underlying financial variables and parameters. A main use of Greeks is to . an option during its lifetime, that is, to reduce or eliminate risk. In mathematical terms, they are the partial derivatives of the option value with respect to its underlying variables and parame

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Merton Model,after major news events. Already in 1976, Merton [63] proposed to add a jump term to the geometric Brownian motion in order to obtain a better model for the asset price evolution. The jumps are assumed to follow a compound Poisson process, so that they arrive randomly according to a Poisson process

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Two-Asset Options,k, the price evolution of two assets is given by two geometric Brownian motions that may be correlated to each other. The fair value of a European-style option is then a function of three independent real variables.

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rst, basic introduction into the valuation of financial opti.This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models

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