Springer Finance

Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

Authors: Hilber, N., Reichmann, O., Schwab, C., Winter, C.

  • 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 ​
see more benefits

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-35401-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-3-642-35400-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA
  • ISBN 978-3-642-43532-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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)

Table of contents (16 chapters)

  • Notions of Mathematical Finance

    Hilber, Norbert (et al.)

    Pages 3-9

  • Elements of Numerical Methods for PDEs

    Hilber, Norbert (et al.)

    Pages 11-25

  • Finite Element Methods for Parabolic Problems

    Hilber, Norbert (et al.)

    Pages 27-45

  • European Options in BS Markets

    Hilber, Norbert (et al.)

    Pages 47-64

  • American Options

    Hilber, Norbert (et al.)

    Pages 65-74

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-3-642-35401-4
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
  • ISBN 978-3-642-35400-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $79.99
price for USA
  • ISBN 978-3-642-43532-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Computational Methods for Quantitative Finance
Book Subtitle
Finite Element Methods for Derivative Pricing
Authors
Series Title
Springer Finance
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-35401-4
DOI
10.1007/978-3-642-35401-4
Hardcover ISBN
978-3-642-35400-7
Softcover ISBN
978-3-642-43532-4
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XIII, 299
Number of Illustrations and Tables
9 b/w illustrations, 47 illustrations in colour
Topics