Research Catalog
Computational methods for option pricing
- Title
- Computational methods for option pricing / Yves Achdou, Olivier Pironneau.
- Author
- Achdou, Yves.
- Publication
- Philadelphia : Society for Industrial and Applied Mathematics, 2005.
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| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG6024.A3 A26 2005 | Off-site |
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Details
- Additional Authors
- Pironneau, Olivier.
- Description
- xviii, 297 pages : illustrations (some color); 25 cm.
- Summary
- "Here is a book for anyone who would like to become better acquainted with the modern tools of numerical analysis for some important computational problems arising in finance. The authors review several significant 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." "Option pricing has become a technical topic that requires sophisticated numerical methods for robust and fast numerical solutions. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis to their implementation in C++ with efficient numerical libraries. Much of this information is not available elsewhere." "This book was written for postgraduate students, professional scientists in the field of finance, researchers, numerical code developers, and those well versed in numerical analysis desiring to learn about numerical and mathematical finance."--BOOK JACKET.
- Series Statement
- Frontiers in applied mathematics
- Uniform Title
- Frontiers in applied mathematics.
- Subject
- Bibliography (note)
- Includes bibliographical references and index.
- Contents
- 1. Option pricing -- 2. The Black-Scholes equation : mathematical analysis -- 3. Finite differences -- 4. The finite element method -- 5. Adaptive mesh refinement -- 6. American options -- 7. Sensitivities and calibration -- 8. Calibration of local volatility with European options -- 9. Calibration of local volatility with American options.
- ISBN
- 0898715733 (pbk.)
- LCCN
- 2005046506
- OCLC
- ocm58791132
- SCSB-5199123
- Owning Institutions
- Columbia University Libraries