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Original Essays | April 11, 2014

Paul Laudiero: IMG Shit Rough Draft



I was sitting in a British and Irish romantic drama class my last semester in college when the idea for Shit Rough Drafts hit me. I was working... Continue »
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Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance)

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Synopses & Reviews

Publisher Comments:

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.

Synopsis:

This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Lévy, additive and classes of Feller processes.

Table of Contents

1.Introduction.- Part I.Basic techniques and models: 2.Notions of mathematical finance.- 3.Elements of numerical methods for PDEs.- 4.Finite element methods for parabolic problems.- 5.European options in BS markets.- 6.American options.- 7.Exotic options.- 8.Interest rate models.- 9.Multi-asset options.- 10.Stochastic volatility models-. 11.Lévy models.- 12.Sensitivities and Greeks.- Part II.Advanced techniques and models: 13.Wavelet methods.- 14.Multidimensional diffusion models.- 15.Multidimensional Lévy models.- 16.Stochastic volatility models with jumps.- 17.Multidimensional Feller processes.- Apendices: A.Elliptic variational inequalities.- B.Parabolic variational inequalities.- References.​- Index.

Product Details

ISBN:
9783642354007
Author:
Hilber, Norbert
Publisher:
Springer
Author:
Reichmann, Oleg
Author:
Winter, Christoph
Author:
Schwab, Christoph
Location:
Berlin, Heidelberg
Subject:
Statistics
Subject:
60J75, 60J25, 60J35, 60J75, 65N06, 65K15, 65N12, 65N30
Subject:
Computational finance
Subject:
derivative pricing beyond Lévy
Subject:
financial models with jumps
Subject:
Numerical analysis
Subject:
Stochastic volatility
Subject:
Probability Theory and Stochastic Processes
Subject:
Quantitative Finance
Subject:
Mathematics-Modeling
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Finance
Subject:
Distribution (Probability theory)
Copyright:
Edition Description:
2013
Series:
Springer Finance
Publication Date:
20130122
Binding:
HARDCOVER
Language:
English
Pages:
285
Dimensions:
235 x 155 mm

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Science and Mathematics » Mathematics » Foundations and Logic
Science and Mathematics » Mathematics » Introduction
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing (Springer Finance) New Hardcover
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Product details 285 pages Springer - English 9783642354007 Reviews:
"Synopsis" by , This book introduces algorithms for fast, accurate pricing of derivative contracts. These are developed in classical Black-Scholes markets, and extended to models based on multiscale stochastic volatility, to Lévy, additive and classes of Feller processes.
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