Computational Methods for Option Pricing

Yves Achdou · Olivier Pironneau

thg 1 2005 · Frontiers in Applied Mathematics Sách 30 · SIAM

Giới thiệu về sách điện tử này

The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.