Computing Financial Derivatives: A Finite-Difference Approach (Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series)

Computing Financial Derivatives: A Finite-Difference Approach (Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series)

By: Sweta Rout-Hoolash (author), Choi-Hong Lai (author)Hardback

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Description

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

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Contents

Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.

Product Details

  • publication date: 15/07/2013
  • ISBN13: 9781420082647
  • Format: Hardback
  • Number Of Pages: 268
  • ID: 9781420082647
  • ISBN10: 1420082647

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