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Title Computational methods for quantitative finance : finite element methods for derivative pricing / Norbert Hilber [and others]
Published Berlin ; New York : Springer, ©2013
Online access available from:
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Description 1 online resource (xiii, 299 pages) : illustrations (chiefly color)
Series Springer finance, 1616-0533
Springer finance.
Contents Basic Techniques and Models -- Notions of Mathematical Finance -- Elements of Numerical Methods for PDEs -- Finite Element Methods for Parabolic Problems -- European Options in BS Markets -- American Options -- Exotic Options -- Interest Rate Models -- Multi-asset Options -- Stochastic Volatility Models -- Lévy Models -- Sensitivities and Greeks -- Advanced Techniques and Models -- Wavelet Methods -- Multidimensional Diffusion Models -- Multidimensional Lévy Models -- Stochastic Volatility Models with Jumps -- Multidimensional Feller Processes
Summary This book offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. It 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, and includes coverage of methods for pricing derivatives on baskets, such as Levy Copula models
Analysis Finance
Numerical analysis
Distribution (Probability theory)
Probability Theory and Stochastic Processes
Quantitative Finance
Bibliography Includes bibliographical references and index
Subject Derivative securities -- Prices -- Mathematical models.
Finance -- Mathematical models.
Business mathematics.
Form Electronic book
Author Hilber, Norbert.
ISBN 3642354009
3642354017 (electronic bk.)
9783642354014 (electronic bk.)