Universitext

Tools for Computational Finance

Authors: Seydel, Rüdiger

  • Provides a broad understanding of practical techniques and algorithms
  • Ventures deep into the subject area while assuming only minimal background knowledge
  • Includes many exercises and numerous illustrations
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eBook $59.99
price for USA (gross)
  • ISBN 978-1-4471-7338-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.99
price for USA
valid through November 5, 2017
  • ISBN 978-1-4471-7337-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches.

Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains:   

  • Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends;
  • Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods;
  • 115 exercises, and more than 100 figures, many in color.

Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world.

Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.

About the authors

Rüdiger U. Seydel is professor emeritus of numerical analysis. He is the former head of a research group on computational finance at the University of Cologne. He also worked in bifurcation and dynamical systems.

Table of contents (7 chapters)

  • Modeling Tools for Financial Options

    Seydel, Rüdiger U.

    Pages 1-82

  • Generating Random Numbers with Specified Distributions

    Seydel, Rüdiger U.

    Pages 83-123

  • Monte Carlo Simulation with Stochastic Differential Equations

    Seydel, Rüdiger U.

    Pages 125-178

  • Standard Methods for Standard Options

    Seydel, Rüdiger U.

    Pages 179-257

  • Finite-Element Methods

    Seydel, Rüdiger U.

    Pages 259-305

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-1-4471-7338-0
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $79.99
price for USA
valid through November 5, 2017
  • ISBN 978-1-4471-7337-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Tools for Computational Finance
Authors
Series Title
Universitext
Copyright
2017
Publisher
Springer-Verlag London
Copyright Holder
Springer-Verlag London Ltd.
eBook ISBN
978-1-4471-7338-0
DOI
10.1007/978-1-4471-7338-0
Softcover ISBN
978-1-4471-7337-3
Series ISSN
0172-5939
Edition Number
6
Number of Pages
XXII, 486
Number of Illustrations and Tables
59 b/w illustrations, 50 illustrations in colour
Additional Information
Previous editions 1-4 published by Springer-Verlag Berlin Heidelberg
Topics