Overview
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 Lévy 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 Lévy, additive and certain classes of Feller processes. This book 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.
Full Product Details
Author: Norbert Hilber ,
Oleg Reichmann ,
Christoph Schwab ,
Christoph Winter
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 2013 ed.
Dimensions:
Width: 15.50cm
, Height: 1.70cm
, Length: 23.50cm
Weight: 4.803kg
ISBN: 9783642435324
ISBN 10: 3642435327
Pages: 299
Publication Date: 07 March 2015
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
From the book reviews: This book ... covers mainly finite element methods for derivative pricing. The book is divided into two parts: `Basic Techniques and Models' and `Advanced Techniques and Models'. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance. (Javier de Frutos, Mathematical Reviews, July, 2014)
From the book reviews: “This book … covers mainly finite element methods for derivative pricing. The book is divided into two parts: ‘Basic Techniques and Models’ and ‘Advanced Techniques and Models’. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance.” (Javier de Frutos, Mathematical Reviews, July, 2014)
