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Computational Methods for Quantitative Finance - Finite Element Methods for Derivative Pricing (Paperback, 2013 ed.)
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Computational Methods for Quantitative Finance - Finite Element Methods for Derivative Pricing (Paperback, 2013 ed.)
Series: Springer Finance
Expected to ship within 10 - 15 working days
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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 Levy 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 Levy,
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.
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