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 (4411086 bytes)
Series
Universitext
Edition
4
Pages
357\349
Time added
2010-05-17 00:23:50
Numerical Analysis; Quantitative Finance

Description

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. 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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