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Tools for Computational Finance [electronic resource] /by Rüdiger U. Seydel.

by Seydel, Rüdiger U [author.]; SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.Description: XIX, 299 p. online resource.ISBN: 9783540279266.Subject(s): Mathematics | Finance | Numerical analysis | Mathematics | Quantitative Finance | Numerical AnalysisDDC classification: 519 Online resources: Click here to access online
Contents:
Modeling Tools for Financial Options -- Generating Random Numbers with Specified Distributions -- Simulation with Stochastic Differential Equations -- Standard Methods for Standard Options -- Finite-Element Methods -- Pricing of Exotic Options.
In: Springer eBooksSummary: This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering. SIAM review (46, 2004). The third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods with main focus on interpolation approach and quadratic approximation. New sections and subsections are among others devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, more background material make this guide to the world of financial engineering a real must-to-have for everyone working in FE.
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Modeling Tools for Financial Options -- Generating Random Numbers with Specified Distributions -- Simulation with Stochastic Differential Equations -- Standard Methods for Standard Options -- Finite-Element Methods -- Pricing of Exotic Options.

This book is very easy to read and one can gain a quick snapshot of computational issues arising in financial mathematics. Researchers or students of the mathematical sciences with an interest in finance will find this book a very helpful and gentle guide to the world of financial engineering. SIAM review (46, 2004). The third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods with main focus on interpolation approach and quadratic approximation. New sections and subsections are among others devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, more background material make this guide to the world of financial engineering a real must-to-have for everyone working in FE.

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