Bernard Lapeyre,
Agnes Sulem (Institut National de Recherche en Informatique et en Automatique (INRIA), Rocquencourt),
Denis Talay
Understanding Numerical Analysis for Option Pricing
Gebonden EN 2020 9780521621144Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
An introduction to mathematical concepts useful in understanding the algorithms used in finance, especially in option pricing and portfolio management. Concepts are introduced in the context of financial questions and illustrated with examples. The result is a uniform treatment of the subject suitable for students and practitioners in mathematical finance.
Specificaties
ISBN13:9780521621144
Taal:EN
Bindwijze:Gebonden
Aantal pagina's:300
Uitgever:Cambridge University Press
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Inhoudsopgave
Preface. Part I. Numerical Methods for Discrete Models: 1. Algorithms for option prices in discrete models; 2. Optimal control of discrete financial markets; Part II. Background on Continuous Models: 3. Introduction to stochastic calculus; 4. Option pricing and partial differential equations; 5. Stochastic optimal control in continuous time; Part III. Numerical Methods for Continuous Models: 7. Finite difference methods for option prices; 8. Finite difference methods for stochastic control problems; 9. Tree methods for option prices; 10. Statistics for diffusion processes; Appendix A. Some topics in stochastic process theory; Appendix B. Numerical methods for linear equations and optimisation; Bibliography.
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