Tools for computational finance.
Asian optionBlack-Scholes equationexotic optionsfinite-difference methodsfinite-element methodsfree boundary-value problemhigh-resolution methodsMonte Carlo simulationoption pricingstochastic calculusupwind schemes
Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for boundary value problems involving PDEs (65N06) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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.
- On the numerical solution of nonlinear Black-Scholes equations
- Numerical probability. An introduction with applications to finance
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Direct computation for American put option and free boundary using finite difference method
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- Introduction to the numerical calculation of financial derivates. Computational finance
- Augmented Lagrangian method applied to American option pricing
- Computational finance. A scientific perspective
- High-order compact finite difference method for Black-Scholes PDE
- scientific article; zbMATH DE number 5985502 (Why is no real title available?)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- Numerical methods for non-linear Black-Scholes equations
- A second-order Nyström-type discretization for the early-exercise curve of American put options
- Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
- scientific article; zbMATH DE number 1069514 (Why is no real title available?)
- Calibration to American options: numerical investigation of the de-americanization method
- High-order exponential spline method for pricing European options
- scientific article; zbMATH DE number 2174322 (Why is no real title available?)
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- A highly accurate adaptive finite difference solver for the Black-Scholes equation
- Numerical methods in finance with C++.
- Tools for computational finance.
- Computation and simulation for finance. An introduction with Python
- The variance gamma++ process and applications to energy markets
- Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
- Pricing American options using a space-time adaptive finite difference method
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