Computational Methods for Quantitative Finance Finite Element Methods for Derivative Pricing /

• Main Authors: Hilber, Norbert. (Author), Reichmann, Oleg. (Author), Schwab, Christoph. (Author), Winter, Christoph. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2013.
• Series: Springer Finance,
• Subjects: Mathematics.; Finance.; Numerical analysis.; Distribution (Probability theory).; Probability Theory and Stochastic Processes.; Quantitative Finance.; Numerical Analysis.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-642-35401-4

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-C...

Table of Contents:

• 1.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.Lv̌y models
• 12.Sensitivities and Greeks
• Part II.Advanced techniques and models: 13.Wavelet methods
• 14.Multidimensional diffusion models
• 15.Multidimensional Lv̌y models
• 16.Stochastic volatility models with jumps
• 17.Multidimensional Feller processes
• Apendices: A.Elliptic variational inequalities
• B.Parabolic variational inequalities
• References. - Index.