Tools for computational finance. (Q5907005): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 16:30, 31 January 2024
scientific article; zbMATH DE number 1984943
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Tools for computational finance. |
scientific article; zbMATH DE number 1984943 |
Statements
Tools for computational finance. (English)
0 references
23 September 2003
0 references
This book provides useful numerical tools for pricing financial options. It covers Monte Carlo simulation and numerical techniques, such as finite-difference and finite-element methods, for solving partial differential equations. Fundamental concepts of options and of stochastic calculus are also presented. There are exercises at the end of each of the six chapters.
0 references
option pricing
0 references
exotic options
0 references
Asian option
0 references
Black-Scholes equation
0 references
free boundary-value problem
0 references
Monte Carlo simulation
0 references
stochastic calculus
0 references
finite-difference methods
0 references
finite-element methods
0 references
upwind schemes
0 references
high-resolution methods
0 references
