Modelling financial derivatives with Mathematica: mathematical models and benchmark algorithms
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge Univ. Press
2006
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| Ausgabe: | 4. print. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 537 S. graph. Darst. |
| ISBN: | 052159233X |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | MODELLING FINANCIAL DERIVATIVES WITH MATHEMATICA MATHEMATICAL MODELS AND
BENCHMARK ALGORITHMS WILLIAM T. SHAW QUANTITATIVE ANALYSIS GROUP NOMURA
INTERNATIONAL PIC, LONDON AND BALLIOL COLLEGE, OXFORD CAMBRIDGE
UNIVERSITY PRESS CONTENTS PREFACE PAGE VI 1 ADVANCED TOOLS FOR ROCKET
SCIENCE 1 2 AN INTRODUCTION TO MATHEMATICA 12 3 MATHEMATICAL FINANCE
PRELIMINARIES 68 4 MATHEMATICAL PRELIMINARIES 85 5 LOG AND POWER
CONTRACTS 127 6 BINARY OPTIONS AND THE NORMAL DISTRIBUTION 136 7 VANILLA
EUROPEAN CALLS AND PUTS 151 8 BARRIER OPTIONS - A CASE STUDY IN RAPID
DEVELOPMENT 167 9 ANALYTICAL MODELS OF LOOKBACKS 189 10 VANILLA ASIAN
OPTIONS - ANALYTICAL METHODS 200 11 VANILLA AMERICAN OPTIONS -
ANALYTICAL METHODS 215 12 DOUBLE BARRIER, COMPOUND, QUANTO OPTIONS AND
OTHER EXOTICS 237 13 THE DISCIPLINE OF THE GREEKS AND OVERVIEW OF
FINITE-DIFFERENCE SCHEMES 258 14 FINITE-DIFFERENCE SCHEMES FOR THE
DIFFUSION EQUATION WITH SMOOTH INITIAL CONDITIONS 266 15
FINITE-DIFFERENCE SCHEMES FOR THE BLACK-SCHOLES EQUATION WITH NON-SMOOTH
PAYOFF INITIAL CONDITIONS 279 16 SOR AND PSOR SCHEMES FOR THE
THREE-TIME-LEVEL DOUGLAS SCHEME AND APPLICATION TO AMERICAN OPTIONS 306
17 LINEAR PROGRAMMING ALTERNATIVES TO PSOR AND REGRESSION 331 18
TRADITIONAL AND SUPERSYMMETRIC TREES 344 19 TREE IMPLEMENTATION IN
MATHEMATICA AND BASIC TREE PATHOLOGY 363 20 TURBO-CHARGED TREES WITH THE
MATHEMATICA COMPILER 387 21 MONTE CARLO AND WOZNIAKOWSKI SAMPLING 400 22
BASIC APPLICATIONS OF MONTE CARLO 420 23 MONTE CARLO SIMULATION OF
BASKET OPTIONS 437 24 GETTING JUMPY OVER DIVIDENDS 454 25 SIMPLE
DETERMINISTIC AND STOCHASTIC INTEREST-RATE MODELS 470 26 BUILDING YIELD
CURVES FROM MARKET DATA 482 27 SIMPLE INTEREST RATE OPTIONS 504 28
MODELLING VOLATILITY BY ELASTICITY 515 INDEX 534
|
| any_adam_object | 1 |
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| building | Verbundindex |
| bvnumber | BV023804361 |
| classification_rvk | QP 890 |
| ctrlnum | (OCoLC)916002021 (DE-599)BVBBV023804361 |
| discipline | Wirtschaftswissenschaften |
| edition | 4. print. |
| format | Book |
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| id | DE-604.BV023804361 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:37:10Z |
| institution | BVB |
| isbn | 052159233X |
| language | English |
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| oclc_num | 916002021 |
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| physical | XII, 537 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
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| publisher | Cambridge Univ. Press |
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| spelling | Shaw, William T. Verfasser aut Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms William T. Shaw 4. print. Cambridge Cambridge Univ. Press 2006 XII, 537 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Ableitung Infinitesimalrechnung (DE-588)4233840-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Mathematica Programm (DE-588)4268208-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s DE-604 Ableitung Infinitesimalrechnung (DE-588)4233840-2 s Mathematica Programm (DE-588)4268208-3 s HEBIS Datenaustausch Darmstadt application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017446537&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Shaw, William T. Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms Ableitung Infinitesimalrechnung (DE-588)4233840-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematica Programm (DE-588)4268208-3 gnd |
| subject_GND | (DE-588)4233840-2 (DE-588)4017195-4 (DE-588)4268208-3 |
| title | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms |
| title_auth | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms |
| title_exact_search | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms |
| title_full | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms William T. Shaw |
| title_fullStr | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms William T. Shaw |
| title_full_unstemmed | Modelling financial derivatives with Mathematica mathematical models and benchmark algorithms William T. Shaw |
| title_short | Modelling financial derivatives with Mathematica |
| title_sort | modelling financial derivatives with mathematica mathematical models and benchmark algorithms |
| title_sub | mathematical models and benchmark algorithms |
| topic | Ableitung Infinitesimalrechnung (DE-588)4233840-2 gnd Finanzmathematik (DE-588)4017195-4 gnd Mathematica Programm (DE-588)4268208-3 gnd |
| topic_facet | Ableitung Infinitesimalrechnung Finanzmathematik Mathematica Programm |
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