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You searched IISERK - Subject: Or Minerais.
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Call Number
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332.64/53/01519
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Author
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Achdou, Yves.
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Title
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Computational methods for option pricing [electronic resource] / Yves Achdou, Olivier Pironneau.
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Publication
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Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2005.
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Material Info.
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1 electronic text (xviii, 297 p.) : ill., digital file.
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Series
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Frontiers in applied mathematics
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Series
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Frontiers in applied mathematics.
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Summary Note
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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.
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Notes
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Includes bibliographical references (p. 287-294) and index.
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Notes
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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.
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ISBN
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9780898717495 (electronic bk.)
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Subject
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Options (Finance) Prices Mathematical models.
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Subject
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Option pricing
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Subject
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Partial differential equations
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Subject
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Mesh adaptation
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Subject
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Calibration
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Added Entry
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Pironneau, Olivier.
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Added Entry
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Society for Industrial and Applied Mathematics.
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Date
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Year, Month, Day:01405141
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Link
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SIAM
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