Tools for computational finance. (Q5907005)
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scientific article; zbMATH DE number 1984943
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| English | Tools for computational finance. |
scientific article; zbMATH DE number 1984943 |
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Tools for computational finance. (English)
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23 September 2003
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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.
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option pricing
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exotic options
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Asian option
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Black-Scholes equation
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free boundary-value problem
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Monte Carlo simulation
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stochastic calculus
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finite-difference methods
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finite-element methods
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upwind schemes
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high-resolution methods
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0.8617022037506104
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0.8453420996665955
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0.8341617584228516
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0.8339274525642395
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