Computational methods for option pricing [electronic resource] / Yves Achdou, Olivier Pironneau.

Author
Achdou, Yves [Browse]
Format
Book
Language
English
Published/​Created
Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2005.
Description
1 electronic text (xviii, 297 p. : ill.) : digital file.

Details

Subject(s)
Related name
Series
Frontiers in applied mathematics. [More in this series]
Summary note
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.
Notes
Bibliographic Level Mode of Issuance: Monograph
Bibliographic references
Includes bibliographical references (p. 287-294) and index.
Source of description
Description based of title page of print version.
Language note
English
Contents
  • Option Pricing
  • Black-Scholes Equation. Mathematical Analysis
  • Finite Differences
  • The Finite Element Method
  • Adaptive Mesh Refinement
  • American Options
  • Sensitivities and Calibration
  • Calibration of Local Volatility with European Options
  • Calibration of Local Volatility with American Options.
Other format(s)
Also available in print version.
ISBN
0-89871-749-3
Siam
  • FR30
Statement on language in description
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