Skip to main content
  • Textbook
  • © 2012

Tools for Computational Finance

  • Provides exercises at the end of each chapter that range from simple tasks to more challenging projects
  • Covers on an introductory level the very important issue of computational aspects of derivative pricing
  • People with a background of stochastics, numerics, and derivative pricing will gain an immediate profit
  • Includes supplementary material: sn.pub/extras

Part of the book series: Universitext (UTX)

Buy it now

Buying options

eBook USD 59.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access

This is a preview of subscription content, log in via an institution to check for access.

Table of contents (7 chapters)

  1. Front Matter

    Pages I-XVII
  2. Modeling Tools for Financial Options

    • Rüdiger U. Seydel
    Pages 1-74
  3. Standard Methods for Standard Options

    • Rüdiger U. Seydel
    Pages 155-227
  4. Finite-Element Methods

    • Rüdiger U. Seydel
    Pages 229-272
  5. Pricing of Exotic Options

    • Rüdiger U. Seydel
    Pages 273-313
  6. Beyond Black and Scholes

    • Rüdiger U. Seydel
    Pages 315-347
  7. Back Matter

    Pages 349-429

About this book

The disciplines of financial engineering and numerical computation differ greatly, however computational 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; specifically the use of numerical methods as tools for computational finance. 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 the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches.

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

  • A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation;
  • Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7)
  • Additional material in the field of analytical methods including Kim’s integral representation and its computation
  • Guidelines for comparing algorithms and judging their efficiency
  • An extended chapter on finite elements that now includes a discussion of two-asset options
  • Additional exercises, figures and references

Written from the perspective of an applied mathematician, methods are introduced as tools within the book 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 students inmathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Authors and Affiliations

  • Mathematisches Institut, Universität zu Köln, Köln, Germany

    Rüdiger U. Seydel

Bibliographic Information

  • Book Title: Tools for Computational Finance

  • Authors: Rüdiger U. Seydel

  • Series Title: Universitext

  • DOI: https://doi.org/10.1007/978-1-4471-2993-6

  • Publisher: Springer London

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag London Limited 2012

  • eBook ISBN: 978-1-4471-2993-6Published: 09 March 2012

  • Series ISSN: 0172-5939

  • Series E-ISSN: 2191-6675

  • Edition Number: 5

  • Number of Pages: XVII, 429

  • Number of Illustrations: 98 b/w illustrations

  • Topics: Quantitative Finance, Numerical Analysis

Buy it now

Buying options

eBook USD 59.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever

Tax calculation will be finalised at checkout

Other ways to access