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

Hilber, Norbert; Reichmann, Oleg; Schwab, Christoph

Softcover

ISBN 10: 3642354025 ISBN 13: 9783642354021

Publisher: Springer, 2013

Synopsis

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.- 5.European 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.

Edition details

• Publisher: Springer
• Publication date: 2013
• Language: English
• ISBN 10: 3642354025
• ISBN 13: 9783642354021
• Binding: Paperback