Computational Methods for Option Pricing
Language: English
Published by Society for Industrial and Applied Mathematics,U.S., US, 2005
- Softcover
- New
Seller: Rarewaves.com UK, London, United KingdomRarewaves.com UK
AbeBooks seller since June 11, 2025
Condition: New
£ 98.40
Quantity: 2 available
Add to basketItem description from seller
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.…
Seller Inventory # LU-9780898715736
- Title
- Computational Methods for Option Pricing
- Author
- Olivier Pironneau, Yves Achdou
- Publisher
- Society for Industrial and Applied Mathematics,U.S., US
- Publication year
- 2005
- Condition
- New
- Binding
- Paperback
- Language
- English
- ISBN 10
- 0898715733
- ISBN 13
- 9780898715736
- Item weight
- 562 grams
- Dimensions
- 17.78 x 1.91 x 24.77 cm
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Rarewaves.com UK
London, United Kingdom
AbeBooks seller since June 11, 2025
Shipping rates from United Kingdom to U.S.A.
| Item | 60 to 60 business days | 60 to 60 business days |
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