Tools for computational finance
著者
書誌事項
Tools for computational finance
（Universitext）
Springer, c2006
3rd ed
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注記
Includes bibliographical references (p. [283]-292) and index
内容説明・目次
内容説明
"This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering." - "SIAM review" (46, 2004). The third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods with main focus on interpolation approach and quadratic approximation. New sections and subsections are among others devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options, and the derivation of the Black-Scholes equation. New figures, more exercises, more background material make this guide to the world of financial engineering a real must-to-have for everyone working in FE.
目次
Modelling Tools for Financial Options.- Generating Random Numbers with Specified Distributions.- Simulation with Stochastic Differential Equations.- Standard Methods for Standard Options.- Finite-Element Methods.- Pricing of Exotic Options.- Appendices.
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