Universitext

Tools for Computational Finance

Authors: Seydel, Rüdiger

  • Covers on an introductory level the very important issue of computational aspects of derivative pricing
  • People with a solid background of stochastics, numerics, and derivative pricing will gain an immediate profit
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Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-92929-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
About this Textbook

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 fourth edition is thoroughly revised and extended. Major revisions concern topics like calibration, Monte Carlo Methods, American options, exotic options and Algorithms for Bermuda Options.

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.

Reviews

 

"In an increasingly crowded field of financial engineering titles, Seydel's Tools for Computational Finance stands out as filling an unmet need. It is an intermediate level text with an extremely practical focus. ... This is the kind of book you can read quickly, gaining a broad understanding of practical techniques of financial engineering. On the other hand, you can go through it slowly, working through all the examples and exercises in order to gain indepth practical knowledge you can use on the job. "

www.riskbook.com

 

"Remarkably, Seydel addresses students of both mathematics and business, presumes only minimal background in either subject, yet ventures deep into the subject in little more than 200 pages. Compare the longer books Mathematics of Financial Markets, by R.J. Elliott and P.E. Kopp (1999), or Methods of Mathematical Finance, by I. Karatzas and S.E. Shreve (1998), which presume research-level preparation in probability theory, delve deeper into theoretical issues, but ignore numerics. On the mathematical side, Seydel covers stochastic processes, random number generation, stochastic differential equations, finite differences, and finite elements. On the financial side, he treats put and call options of so-called American, European, and Asian types. A Web site provides additional material, including colored figures. Summing Up: Highly recommended. "

CHOICE

 

"Seydel has sought a compromise between justifying his results and avoiding formal proofs. I think he has struck a healthy balance, and I enjoyed reading the book.

...

Hull´s book teaches how to write the equations and Seydel´s teaches how to solve them"

Physics Today

 

"In my opinion, this book is mainly tailored to financial researchers and practitioners with an applied mathematics or engineering background. Various methods are introduced from a problem-solving point of view, been eventually formulated and summarised as algorithms which are offered for straightforward implementation in computer programmes. This expository style, which is similar to Kloeden´s and Platen´s 'Numerical Solutions of SDEs through computer experiments', makes the book unique among others and will definitely attract a broad range of readers coming from the financial academia or practice.

Quant Notes

 

"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)

From the reviews of the third edition:

"Tools for Computational Finance is a book on numerical methods for pricing financial derivative products. … the author concentrates on how to provide numerical solutions to the problem of pricing. Exercises are provided at the end of each chapter and they follow and complement the text very well. In my opinion the book is more for practitioners … . it does guide us in a right direction and I think it could be valuable even for an academic." (Ita Cirovic Doney, MathDL-online, October, 2006)


Table of contents (6 chapters)

  • Monte Carlo Simulation with Stochastic Differential Equations

    Seydel, Rüdiger U.

    Pages 1-40

  • Generating Random Numbers with Specified Distribution

    Seydel, Rüdiger U.

    Pages 1-31

  • Standard Methods for Standard Options

    Seydel, Rüdiger U.

    Pages 1-61

  • Modeling Toole for Financial Options

    Seydel, Rüdiger U.

    Pages 1-68

  • Finite Element Methods

    Seydel, Rüdiger U.

    Pages 1-32

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-92929-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
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Bibliographic Information

Bibliographic Information
Book Title
Tools for Computational Finance
Authors
Series Title
Universitext
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-92929-1
DOI
10.1007/978-3-540-92929-1
Series ISSN
0172-5939
Edition Number
4
Number of Pages
XXI, 336
Number of Illustrations and Tables
85 b/w illustrations
Topics