Computational methods for quantitative finance : finite element methods for derivative pricing

Hilber, Norbert; Reichmann, Oleg; Schwab, Christoph; Winter, Christoph

doi:10.1007/978-3-642-35401-4

Publication type:	Book
Type of review:	Editorial review
Title:	Computational methods for quantitative finance : finite element methods for derivative pricing
Authors:	Hilber, Norbert Reichmann, Oleg Schwab, Christoph Winter, Christoph
DOI:	10.1007/978-3-642-35401-4
Extent:	299
Issue Date:	2013
Publisher / Ed. Institution:	Springer
Publisher / Ed. Institution:	Wiesbaden
ISBN:	978-3-642-35401-4 978-3-642-35400-7
Language:	English
Subject (DDC):	332: Financial economics
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.
URI:	https://digitalcollection.zhaw.ch/handle/11475/7308
Fulltext version:	Published version
License (according to publishing contract):	Licence according to publishing contract
Departement:	School of Management and Law
Appears in collections:	Publikationen School of Management and Law

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Hilber, N., Reichmann, O., Schwab, C., & Winter, C. (2013). Computational methods for quantitative finance : finite element methods for derivative pricing. Springer. https://doi.org/10.1007/978-3-642-35401-4

Hilber, N. et al. (2013) Computational methods for quantitative finance : finite element methods for derivative pricing. Wiesbaden: Springer. Available at: https://doi.org/10.1007/978-3-642-35401-4.

N. Hilber, O. Reichmann, C. Schwab, and C. Winter, Computational methods for quantitative finance : finite element methods for derivative pricing. Wiesbaden: Springer, 2013. doi: 10.1007/978-3-642-35401-4.

HILBER, Norbert, Oleg REICHMANN, Christoph SCHWAB und Christoph WINTER, 2013. Computational methods for quantitative finance : finite element methods for derivative pricing. Wiesbaden: Springer. ISBN 978-3-642-35401-4

Hilber, Norbert, Oleg Reichmann, Christoph Schwab, and Christoph Winter. 2013. Computational Methods for Quantitative Finance : Finite Element Methods for Derivative Pricing. Wiesbaden: Springer. https://doi.org/10.1007/978-3-642-35401-4.

Hilber, Norbert, et al. Computational Methods for Quantitative Finance : Finite Element Methods for Derivative Pricing. Springer, 2013, https://doi.org/10.1007/978-3-642-35401-4.