Computational methods for quantitative finance: finite element methods for derivative pricing
Gespeichert in:
| Format: | Elektronisch E-Book |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2013
|
| Schriftenreihe: | Springer finance
|
| Schlagworte: | |
| Online-Zugang: | BTU01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783642354007 9783642354014 |
| DOI: | 10.1007/978-3-642-35401-4 |
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Datensatz im Suchindex
| _version_ | 1804150206826020864 |
|---|---|
| adam_text | COMPUTATIONAL METHODS FOR QUANTITATIVE FINANCE
/ HILBER, NORBERT
: 2013
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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.LEVY MODELS
12.SENSITIVITIES AND GREEKS
PART II.ADVANCED TECHNIQUES AND MODELS: 13.WAVELET METHODS
14.MULTIDIMENSIONAL DIFFUSION MODELS
15.MULTIDIMENSIONAL LEVY MODELS
16.STOCHASTIC VOLATILITY MODELS WITH JUMPS
17.MULTIDIMENSIONAL FELLER PROCESSES
APENDICES: A.ELLIPTIC VARIATIONAL INEQUALITIES
B.PARABOLIC VARIATIONAL INEQUALITIES
REFERENCES. - INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
COMPUTATIONAL METHODS FOR QUANTITATIVE FINANCE
/ HILBER, NORBERT
: 2013
ABSTRACT / INHALTSTEXT
MANY MATHEMATICAL ASSUMPTIONS ON WHICH CLASSICAL DERIVATIVE PRICING
METHODS ARE BASED HAVE COME UNDER SCRUTINY IN RECENT YEARS. THE PRESENT
VOLUME OFFERS AN INTRODUCTION TO DETERMINISTIC ALGORITHMS FOR THE FAST
AND ACCURATE PRICING OF DERIVATIVE CONTRACTS IN MODERN FINANCE. THIS
UNIFIED, NON-MONTE-CARLO COMPUTATIONAL PRICING METHODOLOGY IS CAPABLE OF
HANDLING RATHER GENERAL CLASSES OF STOCHASTIC MARKET MODELS WITH JUMPS,
INCLUDING, IN PARTICULAR, ALL CURRENTLY USED LEVY AND STOCHASTIC
VOLATILITY MODELS. IT ALLOWS US E.G. TO QUANTIFY MODEL RISK IN COMPUTED
PRICES ON PLAIN VANILLA, AS WELL AS ON VARIOUS TYPES OF EXOTIC
CONTRACTS. THE ALGORITHMS ARE DEVELOPED IN CLASSICAL BLACK-SCHOLES
MARKETS, AND THEN EXTENDED TO MARKET MODELS BASED ON MULTISCALE
STOCHASTIC VOLATILITY, TO LEVY, ADDITIVE AND CERTAIN CLASSES OF FELLER
PROCESSES. THE VOLUME IS INTENDED FOR GRADUATE STUDENTS AND
RESEARCHERS, AS WELL AS FOR PRACTITIONERS IN THE FIELDS OF QUANTITATIVE
FINANCE AND APPLIED AND COMPUTATIONAL MATHEMATICS WITH A SOLID
BACKGROUND IN MATHEMATICS, STATISTICS OR ECONOMICS
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| spelling | Computational methods for quantitative finance finite element methods for derivative pricing Norbert Hilber ... Berlin [u.a.] Springer 2013 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Springer finance Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Preisentwicklung (DE-588)4125931-2 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Preisentwicklung (DE-588)4125931-2 s Finanzmathematik (DE-588)4017195-4 s Computerunterstütztes Verfahren (DE-588)4139030-1 s DE-604 Hilber, Norbert 1972- Sonstige (DE-588)103296328X oth https://doi.org/10.1007/978-3-642-35401-4 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025893677&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025893677&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Computational methods for quantitative finance finite element methods for derivative pricing Derivat Wertpapier (DE-588)4381572-8 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Preisentwicklung (DE-588)4125931-2 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4139030-1 (DE-588)4125931-2 (DE-588)4017195-4 |
| title | Computational methods for quantitative finance finite element methods for derivative pricing |
| title_auth | Computational methods for quantitative finance finite element methods for derivative pricing |
| title_exact_search | Computational methods for quantitative finance finite element methods for derivative pricing |
| title_full | Computational methods for quantitative finance finite element methods for derivative pricing Norbert Hilber ... |
| title_fullStr | Computational methods for quantitative finance finite element methods for derivative pricing Norbert Hilber ... |
| title_full_unstemmed | Computational methods for quantitative finance finite element methods for derivative pricing Norbert Hilber ... |
| title_short | Computational methods for quantitative finance |
| title_sort | computational methods for quantitative finance finite element methods for derivative pricing |
| title_sub | finite element methods for derivative pricing |
| topic | Derivat Wertpapier (DE-588)4381572-8 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Preisentwicklung (DE-588)4125931-2 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Derivat Wertpapier Computerunterstütztes Verfahren Preisentwicklung Finanzmathematik |
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