Computing Financial Derivatives
A Finite-Difference Approach
Seiten
2021
Chapman & Hall/CRC (Verlag)
978-1-4200-8264-7 (ISBN)
Chapman & Hall/CRC (Verlag)
978-1-4200-8264-7 (ISBN)
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From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.
Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.
| Erscheint lt. Verlag | 31.12.2023 |
|---|---|
| Reihe/Serie | Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series |
| Zusatzinfo | 50 Illustrations, black and white |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| ISBN-10 | 1-4200-8264-7 / 1420082647 |
| ISBN-13 | 978-1-4200-8264-7 / 9781420082647 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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