Computational Methods for Quantitative Finance
Finite Element Methods for Derivative Pricing
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…
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Produktdetails
Weitere Autoren: Schwab, Christoph / Reichmann, Oleg / Hilber, Norbert
- ISBN: 978-3-642-35401-4
- EAN: 9783642354014
- Produktnummer: 18258762
- Verlag: Springer
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 299 S.
- Plattform: PDF
- Masse: 6'079 KB
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