Computational methods for quantitative finance. Finite element methods for derivative pricing

DOI10.1007/978-3-642-35401-4zbMath1275.91005OpenAlexW4233476184MaRDI QIDQ1935212

Christoph Schwab, Norbert Hilber, Christoph Winter, Oleg Reichmann

Publication date: 13 February 2013

Published in: Springer Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35401-4

zbMATH Keywords

finite element method finite difference method partial differential equation Lévy process derivative pricing Feller process partial integro-differential equation stochastic volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

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