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

Full metadata record

DC Field	Value	Language
dc.contributor.author	Hilber, Norbert	-
dc.contributor.author	Reichmann, Oleg	-
dc.contributor.author	Schwab, Christoph	-
dc.contributor.author	Winter, Christoph	-
dc.date.accessioned	2018-06-26T12:35:16Z	-
dc.date.available	2018-06-26T12:35:16Z	-
dc.date.issued	2013	-
dc.identifier.isbn	978-3-642-35401-4	de_CH
dc.identifier.isbn	978-3-642-35400-7	de_CH
dc.identifier.uri	https://digitalcollection.zhaw.ch/handle/11475/7308	-
dc.description.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.	de_CH
dc.format.extent	299	de_CH
dc.language.iso	en	de_CH
dc.publisher	Springer	de_CH
dc.rights	Licence according to publishing contract	de_CH
dc.subject.ddc	332: Finanzwirtschaft	de_CH
dc.title	Computational methods for quantitative finance : finite element methods for derivative pricing	de_CH
dc.type	Buch	de_CH
dcterms.type	Text	de_CH
zhaw.departement	School of Management and Law	de_CH
zhaw.publisher.place	Wiesbaden	de_CH
dc.identifier.doi	10.1007/978-3-642-35401-4	de_CH
zhaw.funding.eu	No	de_CH
zhaw.originated.zhaw	Yes	de_CH
zhaw.publication.status	publishedVersion	de_CH
zhaw.publication.review	Editorial review	de_CH
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.