Tools for computational finance.

zbMath1042.91049MaRDI QIDQ5907005

Rüdiger U. Seydel

Publication date: 23 September 2003

Published in: Universitext (Search for Journal in Brave)

zbMATH Keywords

option pricing; upwind schemes; Monte Carlo simulation; stochastic calculus; finite-difference methods; Asian option; high-resolution methods; Black-Scholes equation; exotic options; finite-element methods; free boundary-value problem

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

91-08: Computational methods for problems pertaining to game theory, economics, and finance

65N06: Finite difference methods for boundary value problems involving PDEs

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

65-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis

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