Name: computational methods for quantitative finance: finite element methods for derivative pricing (en Inglés)
Price: 541.03 PEN
Availability: InStock
Author: Hilber, Norbert ; Reichmann, Oleg ; Schwab, Christoph
ISBN: 9783642354007

portada computational methods for quantitative finance: finite element methods for derivative pricing (en Inglés)

Formato

Libro Físico

Autor

Editorial

Año

2013

Idioma

Inglés

N° páginas

299

Encuadernación

Tapa Dura

Dimensiones

23.4 x 15.5 x 2.3 cm

Peso

0.59 kg.

ISBN

3642354009

ISBN13

9783642354007

Categorías

Sistemas numéricos
Probabilidad y estadística
Teoría del juego

computational methods for quantitative finance: finite element methods for derivative pricing (en Inglés)

Norbert Hilber (Autor) · Oleg Reichmann (Autor) · Christoph Schwab (Autor) · Springer · Tapa Dura

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S/ 541,03

S/ 1.082,06

Ahorras: S/ 541,03

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Origen: Estados Unidos (Costos de importación incluídos en el precio)

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Reseña del libro "computational methods for quantitative finance: finite element methods for derivative pricing (en Inglés)"

Many 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. This book 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.