000 03625nam a22004815i 4500
001 978-1-4471-2993-6
003 DE-He213
005 20140220083237.0
007 cr nn 008mamaa
008 120309s2012 xxk| s |||| 0|eng d
020 _a9781447129936
_9978-1-4471-2993-6
024 7 _a10.1007/978-1-4471-2993-6
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aSeydel, Rüdiger U.
_eauthor.
245 1 0 _aTools for Computational Finance
_h[electronic resource] /
_cby Rüdiger U. Seydel.
250 _a5th ed. 2012.
264 1 _aLondon :
_bSpringer London,
_c2012.
300 _aXVII, 429p. 98 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aUniversitext,
_x0172-5939
505 0 _aModeling Tools for Financial Options -- Generating Random Numbers with Specified Distributions -- Monte Carlo Simulation with Stochastic Differential Equations -- Standard Methods for Standard Options -- Finite-Element Methods -- Pricing of Exotic Options -- Beyond Black and Scholes.
520 _aComputational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets, which links to new appendices on viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.
650 0 _aMathematics.
650 0 _aFinance.
650 0 _aNumerical analysis.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aNumerical Analysis.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781447129929
830 0 _aUniversitext,
_x0172-5939
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4471-2993-6
912 _aZDB-2-SMA
999 _c100746
_d100746