ENGLISH

Tools for Computational Finance

By Rüdiger U. Seydel (auth.)

Book information

Publisher
Springer Berlin Heidelberg
Year
2009
ISBN
3540929282, 9783540929284
Language
english
Format
PDF
Filesize
4 MB (4493338 bytes)
Series
Universitext
Edition
4
Pages
349\349
Time added
2010-04-25 21:59:20
Numerical Analysis; Quantitative Finance

Description

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). The fourth edition is thoroughly revised and extended. Major revisions concern topics like calibration, Monte Carlo Methods, American options, exotic options and Algorithms for Bermuda Options. New figures, more exercises, more background material make this guide to the world of financial engineering a real must-to-have for everyone working in FE. Front Matter....Pages 1-16 Modeling Toole for Financial Options....Pages 1-68 Generating Random Numbers with Specified Distribution....Pages 1-31 Monte Carlo Simulation with Stochastic Differential Equations....Pages 1-40 Standard Methods for Standard Options....Pages 1-61 Finite Element Methods....Pages 1-32 Pricing of Exotic Options....Pages 1-30 Back Matter....Pages 1-70

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