Quantitative Methods for Finance with Simulations II: Numerical Methods and Monte Carlo Integration
Language: English
Published by Springer, 2026
Series: Book 187 of 190 - Springer Texts in Business and Economics
- Hardcover
- New
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- Title
- Quantitative Methods for Finance with Simulations II: Numerical Methods and Monte Carlo Integration
- Author
- Choe, Geon Ho
- Publisher
- Springer
- Publication year
- 2026
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 3032123305
- ISBN 13
- 9783032123305
- Series
- Book 187 of 190: Springer Texts in Business and Economics
This self-contained book is the second of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers numerical methods, including numerical solutions of ordinary and partial differential equations such as the Black–Scholes–Merton equation, as well as stochastic differential equations, Monte Carlo methods, estimation of implied volatility, stochastic volatility models, and Fourier transform methods for option pricing. The numerical methods are implemented in both Matlab and Python. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.
"Synopsis" may belong to another edition of this title.
About the Author
Geon Ho Choe is Emeritus Professor at Korea Advanced Institute of Science and Technology (KAIST). He obtained his PhD in Mathematics at the University of California, Berkeley, in 1987. In a career spanning several decades, he supervised 21 PhD students. He is the author of the books Computational Ergodic Theory (Springer, 2005) and Stochastic Analysis for Finance with Simulations (Springer, 2016). He received the 2022 Korean Mathematical Society Education Award.
"About the title" may belong to another edition of this title.
Biblios
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