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

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