Authors:
- Offers an accessible introduction to modern deterministic numerical methods of option pricing
- Presents methods for all standard European plain vanilla option as well as for widely used exotic derivative contracts, such as Barrier, American and multiperiod contracts
- Includes a large section on methods for pricing derivatives on baskets, such as Lévy Copula models ?
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (16 chapters)
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Front Matter
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Basic Techniques and Models
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Front Matter
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Advanced Techniques and Models
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Front Matter
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Back Matter
About this book
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo 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. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes.
This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.
Reviews
From the book reviews:
“This book … covers mainly finite element methods for derivative pricing. The book is divided into two parts: ‘Basic Techniques and Models’ and ‘Advanced Techniques and Models’. This partition makes the book useful to a large number of readers, from beginners in the subject to more advanced students and researchers, specializing not only in applied mathematics but also in mathematical finance.” (Javier de Frutos, Mathematical Reviews, July, 2014)Authors and Affiliations
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School of Management and Law, Dept. for Banking, Finance, Insurance, Zurich University of Applied Sciences, Winterthur, Switzerland
Norbert Hilber
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Seminar for Applied Mathematics, Swiss Federal Inst. of Technology (ETH), Zurich, Switzerland
Oleg Reichmann, Christoph Schwab
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Allianz Deutschland AG, Munich, Germany
Christoph Winter
Bibliographic Information
Book Title: Computational Methods for Quantitative Finance
Book Subtitle: Finite Element Methods for Derivative Pricing
Authors: Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-642-35401-4
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2013
Hardcover ISBN: 978-3-642-35400-7Published: 27 February 2013
Softcover ISBN: 978-3-642-43532-4Published: 07 March 2015
eBook ISBN: 978-3-642-35401-4Published: 15 February 2013
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XIII, 299
Number of Illustrations: 9 b/w illustrations, 47 illustrations in colour
Topics: Quantitative Finance, Numerical Analysis, Probability Theory and Stochastic Processes