Mathematics of computational finance
著者
書誌事項
Mathematics of computational finance
World Scientific, [2026] ,
- : paperback
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注記
Content Type: text (ncrcontent), Media Type: unmediated (ncrmedia), Carrier Type: volume (ncrcarrier)
Includes bibliographical references (pages 415-420) and indexes
Summary:"The book focuses on numerical methods for derivative pricing with an emphasis on their mathematical foundations. It offers the most frequently explored numerical methods of derivative pricing and covers the material of standard courses in computational finance. The book presents the best-known methods of multinomial trees, Monte Carlo simulations for European, American, and exotic options, and finite difference and finite element methods for PDEs. However, unlike many textbooks on computational finance, it also presents rigorous results on analyzed numerical algorithms with a focus on the mathematical content - including theorems with possibly complete proofs. The book gives the reader the necessary tools for analyzing algorithm consistency and offers an efficient approach to assessing the stability and convergence of numerical methods. It consolidates mathematical results previously dispersed across different monographs into a single volume, while tailoring the presentation to the specific needs of
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