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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing

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

Reichmann, Oleg
Schwab, Christoph
Hilber, Norbert

Hardcover

Series: Springer Finance

General MathematicsProbability & Statistics

ISBN10: 3642354009
ISBN13: 9783642354007
Publisher: Springer
Published: Feb 27 2013
Pages: 299
Weight: 1.30
Height: 0.90 Width: 6.10 Depth: 9.20
Language: English

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.

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