Description: 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.¿
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EAN: 9783642354007
UPC: 9783642354007
ISBN: 9783642354007
MPN: N/A
Recommended Age Range: 0-12 months
Item Height: 2.3 cm
Number of Pages: Xiii, 299 Pages
Language: English
Publication Name: Computational Methods for Quantitative Finance : Finite Element Methods for Derivative Pricing
Publisher: Springer Berlin / Heidelberg
Subject: Investments & Securities / Derivatives, Probability & Statistics / General, Numerical Analysis, Applied
Publication Year: 2013
Item Weight: 210.7 Oz
Type: Textbook
Author: Christoph Winter, Oleg Reichmann, Christoph Schwab, Norbert Hilber
Subject Area: Mathematics, Business & Economics
Item Length: 9.3 in
Series: Springer Finance Ser.
Item Width: 6.1 in
Format: Hardcover
