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Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling
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Computational Methods for Option Pricing (Paperback, Illustrated Ed)
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Computational Methods for Option Pricing (Paperback, Illustrated Ed)
Series: Frontiers in Applied Mathematics, No. 30
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Here is a book for anyone who would like to become better
acquainted with the modern tools of numerical analysis for several
significant computational problems arising in finance. The authors
review some important aspects of finance modeling involving partial
differential equations and focus on numerical algorithms for the
fast and accurate pricing of financial derivatives and for the
calibration of parameters. Option pricing has become a technical
topic that requires sophisticated numerical methods for robust and
fast numerical solutions. This book explores the best numerical
algorithms and discusses them in depth, from their mathematical
analysis up to their implementation in C with efficient numerical
libraries. Much of this information is not available elsewhere. In
particular, this is one of the few books that gives detailed
coverage of the following topics:* Mathematical results and
efficient algorithms for pricing American options.* Modern
algorithms with adaptive mesh refinement for European and American
options. Regularity and error estimates are derived and give strong
support to the mesh adaptivity, an essential tool for speeding up
the numerical implementations.* Calibration of volatility with
European and American options. * The use of automatic
differentiation of computer codes for computing gree.
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