Tools for Computational Finance (eBook)

Rüdiger U. Seydel (Autor)

eBook Download: PDF

2009 | 4th ed. 2009
XXI, 336 Seiten
Springer Berlin (Verlag)
978-3-540-92929-1 (ISBN)

Infos

This book covers basic computational issues arising in financial mathematics. This edition offers major revisions around such topics as calibration, Monte Carlo Methods, American options, and exotic options. It includes new figures and more exercises.

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Basic principles underlying the transactions of ?nancial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical ?nance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of ?nancial derivatives, a need for sophisticated computational technology has developed. For - ample, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial di?erential equation. Fast and accurate numerical algorithms have become essential tools to price ?nancial derivatives and to manage portfolio risks. The required methods aggregate to the new ?eld of Computational Finance. This discipline still has an aura of mysteriousness; the ?rst specialists were sometimes called rocket scientists. So far, the emerging ?eld of computational ?nance has hardly been discussed in the mathematical ?nance literature. This book attempts to ?ll the gap. Basic principles of computational ?nance are introduced in a monograph with textbook character. The book is divided into four parts, arranged in six chapters and seven appendices. The general organization is Part I (Chapter 1): Financial and Stochastic Background Part II (Chapters 2, 3): Tools for Simulation Part III (Chapters 4, 5, 6): Partial Di?erential Equations for Options PartIV(AppendicesA1...A7):FurtherRequisitsandAdditionalMaterial.

Inhalt

Modeling Toole for Financial Options.- Generating Random Numbers with Specified Distribution.- Monte Carlo Simulation with Stochastic Differential Equations.- Standard Methods for Standard Options.- Finite Element Methods.- Pricing of Exotic Options.

Produkt-Details

• Erscheint lt. Verlag: 3.4.2009
• Reihe/Serie: Universitext
• Verlagsort: Berlin
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre
• Schlagworte: algorithms • Black-Scholes-Equation • Computational Finance • Derivative pricing • exotic options • finite elements • linear optimization • mathematical finance • Modeling tools • Monte Carlo Method • Monte Carlo methods • PDE methods • random number generation
• ISBN-10: 3-540-92929-0 / 3540929290
• ISBN-13: 978-3-540-92929-1 / 9783540929291