Understanding Numerical Analysis for Option Pricing

Bernard Lapeyre, Agnes Sulem, Denis Talay (Autoren)

Buch | Hardcover

300 Seiten

2020
Cambridge University Press (Verlag)
978-0-521-62114-4 (ISBN)

Infos

A description of the mathematical concepts needed to understand the most important algorithms currently used in finance, especially Monte Carlo, finite-difference, and parameter estimation. A basic understanding of probability theory, option pricing and stochastic processes is assumed, and examples are provided throughout.

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An introduction to mathematical concepts useful in understanding the algorithms used in finance, especially in option pricing and portfolio management. Concepts are introduced in the context of financial questions and illustrated with examples. The result is a uniform treatment of the subject suitable for students and practitioners in mathematical finance.

Inhalt

Preface. Part I. Numerical Methods for Discrete Models: 1. Algorithms for option prices in discrete models; 2. Optimal control of discrete financial markets; Part II. Background on Continuous Models: 3. Introduction to stochastic calculus; 4. Option pricing and partial differential equations; 5. Stochastic optimal control in continuous time; Part III. Numerical Methods for Continuous Models: 7. Finite difference methods for option prices; 8. Finite difference methods for stochastic control problems; 9. Tree methods for option prices; 10. Statistics for diffusion processes; Appendix A. Some topics in stochastic process theory; Appendix B. Numerical methods for linear equations and optimisation; Bibliography.

Produkt-Details

• Erscheint lt. Verlag: 1.6.2020
• Zusatzinfo: 50 exercises
• Verlagsort: Cambridge
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Analysis
• ISBN-10: 0-521-62114-3 / 0521621143
• ISBN-13: 978-0-521-62114-4 / 9780521621144
• Zustand: Neuware