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Computational Methods for Quantitative Finance Finite ~ The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance This unified Computational Methods for Quantitative Finance Finite Element Methods for Derivative Pricing Norbert Hilber Springer
Computational Methods for Quantitative Finance SpringerLink ~ The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance This unified nonMonteCarlo 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
Computational Methods for Quantitative Finance ~ 1 Notions of Mathematical Finance 3 11 Financial Modelling 3 12 Stochastic Processes 5 13 Further Reading 8 2 Elements of Numerical Methods for PDEs 11 21 Function Spaces 11 22 Partial Differential Equations 12 23 Numerical Methods for the Heat Equation 15 • 2731 Finite Difference Method 15 232 Convergence of the Finite Difference Method 17
Computational Methods for Quantitative Finance DMATH ~ Finite Difference methods for option pricing Finite Difference methods for Asian American and Barrier type contracts Finite Element methods for European and American style contracts Pricing under local and stochastic volatility in BlackScholes markets Finite Element methods for option pricing under Lévy processes
ETH DMATH Computational Methods for Quantitative ~ Finite Difference methods for option pricing Finite Difference methods for Asian American and Barrier type contracts Finite Element methods for European and American style contracts Pricing under local and stochastic volatility in BlackScholes markets Finite Element methods for option pricing under Lévy processes
Staff View Computational methods for quantitative finance ~ Computational methods for quantitative finance finite element methods for derivative pricing Bibliographic Details a Computational methods for quantitative finance b finite element methods for derivative pricing
Computational Methods for Quantitative Finance PDE ~ Finite Difference methods for option pricing Finite Element methods for European and American style contracts Pricing under local and stochastic volatility in BlackScholes markets Finite Element methods for option pricing under Lévy processes Treatment of integrodifferential operators Stochastic volatility models for Lévy processes
Computational Methods for Quantitative Finance PDE Methods ~ Computational Methods for Quantitative Finance PDE Methods volatility models • Finite Difference Methods for option pricing Relation to bi and multinomial trees European contracts • Finite Difference methods for Asian American and Barrier type contracts • Finite element methods for European and American style contracts
Computational Methods for Quantitative Finance PDE ~ Aims of the Course The main methods of option pricing for efficient numerical valuation of derivative contracts in a BlackScholes as well as in incomplete markets due to Levy processes or due to stochastic volatility models with emphasis on PDEbased methods are introduced Further implementation of pricing methods in MATLAB is developed
Finite Element Methods for Parabolic Problems SpringerLink ~ The finite element methods are an alternative to the finite difference discretization of partial differential equations The advantage of finite elements is that they give convergent deterministic approximations of option prices under realistic low smoothness assumptions on the payoff function as for binary contracts
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