Computational Methods for Quantitative Finance (eBook)
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.
* All information about the books on this website is intended solely for information purposes. They are neither complete nor do they represent a recommendation or solicitation of the respective books . A legal claim on buying the books at the displayed price does not exist. The purchase of an eBook is possible only in designated shops. The sitter Inflation in percent is calculated from the last price change of a respective books.