Computational Methods for Quantitative Fin...

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Beschreibung

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.¿

Zusammenfassung

Offers an accessible introduction to modern deterministic numerical methods of option pricing

Presents methods for all standard European plain vanilla option as well as for widely used exotic derivative contracts, such as Barrier, American and multiperiod contracts

Includes a large section on methods for pricing derivatives on baskets, such as Lévy Copula models ?

Includes supplementary material: [...]

Inhaltsverzeichnis

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.- [...]opean options in BS markets.- 6.American options.- 7.Exotic options.- 8.Interest rate models.- 9.Multi-asset options.- 10.Stochastic volatility models-. 11.Lévy models.- 12.Sensitivities and Greeks.- Part II.Advanced techniques and models: 13.Wavelet methods.- 14.Multidimensional diffusion models.- 15.Multidimensional Lévy models.- 16.Stochastic volatility models with jumps.- 17.Multidimensional Feller processes.- Apendices: A.Elliptic variational inequalities.- B.Parabolic variational inequalities.- References.¿- Index.

Details

Erscheinungsjahr:	2013
Fachbereich:	Allgemeines
Genre:	Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Buch
Seiten:	316
Reihe:	Springer Finance
Inhalt:	xiii 299 S. 9 s/w Illustr. 47 farbige Illustr. 299 p. 56 illus. 47 illus. in color.
ISBN-13:	9783642354007
ISBN-10:	3642354009
Sprache:	Englisch
Ausstattung / Beilage:	HC runder Rücken kaschiert
Einband:	Gebunden
Autor:	Hilber, Norbert Winter, Christoph Schwab, Christoph Reichmann, Oleg
Auflage:	2013
Hersteller:	Springer-Verlag GmbH Springer Berlin Heidelberg Springer Finance
Maße:	241 x 160 x 22 mm
Von/Mit:	Norbert Hilber (u. a.)
Erscheinungsdatum:	27.02.2013
Gewicht:	0,641 kg

preigu-id: 106054076