rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Computational Methods for Quantitative Finance
    sub title: Finite Element Methods for Derivative Pricing
  name:
    name part: Hilber, Norbert.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Reichmann, Oleg.
    role:
      role term: author.
  name:
    name part: Schwab, Christoph.
    role:
      role term: author.
  name:
    name part: Winter, Christoph.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2013
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIII, 299 p. 56 illus., 47 illus. in color. online resource.
  abstract: 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. The volume 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.
  table of contents: 1.Introduction -- Part I.Basic techniques and models: 2.Notions of mathematical finance -- 3.Elements of numerical methods for PDEs -- 4.Finite element methods for parabolic problems -- 5.European options in BS markets -- 6.American options -- 7.Exotic options -- 8.Interest rate models -- 9.Multi-asset options -- 10.Stochastic volatility models-. 11.Lévy models -- 12.Sensitivities and Greeks -- Part II.Advanced techniques and models: 13.Wavelet methods -- 14.Multidimensional diffusion models -- 15.Multidimensional Lévy models -- 16.Stochastic volatility models with jumps -- 17.Multidimensional Feller processes -- Apendices: A.Elliptic variational inequalities -- B.Parabolic variational inequalities -- References. - Index.
  note: by Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter.
  subject:
    topic: Mathematics
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Numerical analysis
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  subject:
    topic: Numerical Analysis
  subject:
    topic: Probability Theory and Stochastic Processes
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Springer Finance
  identifier: 9783642354014
  identifier: http://dx.doi.org/10.1007/978-3-642-35401-4
  record info:
    record creation date: 130217
    record change date: 20151204154135.0
    record identifier: 978-3-642-35401-4