An introduction to computational finance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Imperial College Press
2009
|
| Series: | Series in quantitative finance
1 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 289 - 293 |
| Physical Description: | XV, 298 S. graph. Darst. |
| ISBN: | 9781848161924 1848161921 9781848161931 184816193X |
Staff View
MARC
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| 100 | 1 | |a Uǧur, Ömür |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a An introduction to computational finance |c Ömür Uğur |
| 246 | 1 | 3 | |a Computational finance |
| 264 | 1 | |a London |b Imperial College Press |c 2009 | |
| 300 | |a XV, 298 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Series in quantitative finance |v 1 | |
| 500 | |a Literaturverz. S. 289 - 293 | ||
| 650 | 4 | |a Finance |x Mathematical methods | |
| 650 | 4 | |a Options (Finance) |x Prices |x Mathematical methods | |
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| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017111881 | ||
Record in the Search Index
| _version_ | 1804138609856479232 |
|---|---|
| adam_text | Contents
Preface vii
Acknowledgments
xi
1.
Introduction
1
1.1
Fixed-Income Securities
................... 2
1.1.1
Valuation
....................... 2
1.1.2
Interest Rate Sensitivity
.............. 8
1.1.3
Portfolio Management
................ 16
1.2
Portfolio Optimisation
.................... 21
1.2.1
Basic Mean-Variance Portfolio Optimisation
... 23
2.
Option Pricing and Binomial Methods
35
2.1
Options
............................ 35
2.1.1
The No-Arbitrage Principle
............. 38
2.2
The Binomial Model
..................... 42
2.2.1
Pricing American Options by Binomial Methods
. 58
2.3
An Alternative Binomial Method
............. 64
3.
Stochastic
Differential
Equations
71
3.1
Stochastic
Ito
Processes
................... 72
3.2
Stochastic
Ito
Integral
...........-........ 84
3.2.1
Definition and Properties of the
Ito
Integral
... 91
3.3
Ito Lemma
.......................... 96
3.4
Applications in Stock Market
................ 100
xiv
An Introduction to Computational Finance
4.
The Black-Scholes Equation
Ш
4.1
Derivation of the Black-Scholes Equation
......... 112
4.2
Solution of the Black-Scholes Equation
........... 116
4.2.1
Transforming to the Heat Equation
........ 117
4.2.2
Closed-Form Solutions of European Call and Put
Options
........................ 120
4.3
Hedging Portfolios: The Greeks
............... 126
4.4
Implied Volatility
....................... 133
5.
Random Numbers and Monte Carlo Simulation
139
5.1
Pseudo-Random. Numbers
.................. 140
5.2
Transformation of Random Variables
............ 144
5.2.1
Inverse Transform Method
............. 146
5.2.2
Acceptance-Rejection Method
........... 149
5.3
Generating Normal
Variâtes
................. 151
5.3.1
Box-Muller
Method
................. 152
5.3.2
The Polar Method of Marsaglia
.......... 154
5.3.3
Multivariate Normal Variables
........... 156
5.4
Monte Carlo Integration
................... 160
5.5
Option Pricing by Monte Carlo Simulation
........ 166
5.5.1
Correlated Assets
.................. 172
5.6
Variance Reduction Techniques
............... 178
5.6.1
Antithetic
Variâtes
................. 178
5.6.2
Control
Variâtes
................... 182
5.7
Quasi-Monte
Carlo Simulation
............... 188
5.7.1
Halton
Sequences
.................. 189
6.
Option Pricing by Partial Differential Equations
195
6.1
Classification of PDEs
.................... 196
6.2
Finite Difference Methods for Parabolic Equations
.... 200
6.2.1
An Explicit Method
................. 203
6.2.2
An Implicit Method
................. 215
6.2.3
Crank-Nicolson Method
............... 220
6.3
Option Pricing by the Heat Equation
............ 226
6.4
Option Pricing by the Black-Scholes Equation
....... 234
6.4.1
Pricing by an Explicit Method
........... 235
6.4.2
Pricing by an Implicit Method
........... 239
6.4.3
Pricing by the Crank-Nicolson Method
...... 241
Contents xv
6.5
Pricing
American
Options
................. 245
6.5.1
Projected
SOR
Method for American Options
. . 249
6.6
Tree Methods and Finite Differences
............ 256
6.6.1
A Trinomial Tree
.................. 259
6.6.2
A Binomial Tree
................... 260
Appendix A A Short Introduction to
Matlab
263
A.I Getting Started
........................ 264
A.I.I Variables
....................... 265
A.2 Matrices and Vectors
..................... 266
A.
2.1
Operations on Matrices
............... 271
A.3 Graphics
............................ 272
A.3.1 Three-Dimensional Plots
.............. 275
A.4 Programming in
MATLAB:
Scripts and functions
..... 278
A.4.1 Programming
.................... 281
A.4.
2
Vectorisation
..................... 286
Bibliography
289
Index
295
|
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| author | Uǧur, Ömür |
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| dewey-search | 332.63/2042 |
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| isbn | 9781848161924 1848161921 9781848161931 184816193X |
| language | English |
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| series | Series in quantitative finance |
| series2 | Series in quantitative finance |
| spelling | Uǧur, Ömür Verfasser aut An introduction to computational finance Ömür Uğur Computational finance London Imperial College Press 2009 XV, 298 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Series in quantitative finance 1 Literaturverz. S. 289 - 293 Finance Mathematical methods Options (Finance) Prices Mathematical methods Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Optionspreis (DE-588)4115453-8 s Preisbildung (DE-588)4047103-2 s Finanzmathematik (DE-588)4017195-4 s Computerunterstütztes Verfahren (DE-588)4139030-1 s DE-604 Series in quantitative finance 1 (DE-604)BV035458481 1 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017111881&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Uǧur, Ömür An introduction to computational finance Series in quantitative finance Finance Mathematical methods Options (Finance) Prices Mathematical methods Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Preisbildung (DE-588)4047103-2 gnd Optionspreis (DE-588)4115453-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4139030-1 (DE-588)4047103-2 (DE-588)4115453-8 (DE-588)4017195-4 |
| title | An introduction to computational finance |
| title_alt | Computational finance |
| title_auth | An introduction to computational finance |
| title_exact_search | An introduction to computational finance |
| title_full | An introduction to computational finance Ömür Uğur |
| title_fullStr | An introduction to computational finance Ömür Uğur |
| title_full_unstemmed | An introduction to computational finance Ömür Uğur |
| title_short | An introduction to computational finance |
| title_sort | an introduction to computational finance |
| topic | Finance Mathematical methods Options (Finance) Prices Mathematical methods Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Preisbildung (DE-588)4047103-2 gnd Optionspreis (DE-588)4115453-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finance Mathematical methods Options (Finance) Prices Mathematical methods Computerunterstütztes Verfahren Preisbildung Optionspreis Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017111881&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV035458481 |
| work_keys_str_mv | AT uguromur anintroductiontocomputationalfinance AT uguromur computationalfinance |