000			03712nam a22005415i 4500
001			978-3-642-35401-4
003			DE-He213
005			20140220082900.0
007			cr nn 008mamaa
008			130217s2013 gw | s |||| 0|eng d
020			_a9783642354014 _9978-3-642-35401-4
024	7		_a10.1007/978-3-642-35401-4 _2doi
050		4	_aQA273.A1-274.9
050		4	_aQA274-274.9
072		7	_aPBT _2bicssc
072		7	_aPBWL _2bicssc
072		7	_aMAT029000 _2bisacsh
082	0	4	_a519.2 _223
100	1		_aHilber, Norbert. _eauthor.
245	1	0	_aComputational Methods for Quantitative Finance _h[electronic resource] : _bFinite Element Methods for Derivative Pricing / _cby Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2013.
300			_aXIII, 299 p. 57 illus., 48 illus. in color. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aSpringer Finance, _x1616-0533
505	0		_a1.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.
520			_aMany 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.  The volume 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.
650		0	_aMathematics.
650		0	_aFinance.
650		0	_aNumerical analysis.
650		0	_aDistribution (Probability theory).
650	1	4	_aMathematics.
650	2	4	_aProbability Theory and Stochastic Processes.
650	2	4	_aQuantitative Finance.
650	2	4	_aNumerical Analysis.
700	1		_aReichmann, Oleg. _eauthor.
700	1		_aSchwab, Christoph. _eauthor.
700	1		_aWinter, Christoph. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642354007
830		0	_aSpringer Finance, _x1616-0533
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-35401-4
912			_aZDB-2-SMA
999			_c97641 _d97641