Tools for computational finance
著者
書誌事項
Tools for computational finance
（Universitext）
Springer, c2002
- : pbk
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注記
Includes bibliographical references (p. [211]-217) and index
内容説明・目次
内容説明
This text is a practical introduction to computational finance, formulating methods and algorithms that can be implemented and used. The first part presents the basic features of options and mathematical models and the foundations of simulation methods such as Monte Carlo methods. The main topic of the book is the valuation of options based on the partial differential equations and inequalities of Black and Scholes. Basic approaches of finite-difference and finite-element methods are explained. Numerous figures and many examples illustrate the concepts. An extensive appendix provides additional material for readers with little background in finance, stochastics or computational methods.
目次
Modelling Tools for Financial Options.- Generating Random Numbers with Specified Distributions.- Integration of Stochastic Differential Equations.- Finite Difference and Standard Options.- Finite-Element Methods.- Pricing of Exotic Options.- Appendices.
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