The European Consortium for Mathematics in Industry

Novel Methods in Computational Finance

Herausgeber: Ehrhardt, Matthias, Günther, Michael, ter Maten, E. Jan W. (Eds.)

  • Offers new or improved methods for dealing with volatility of the financial marketIncludes concise discussion of modelling, analysis and numerical solution methods for nonlinear Black-Scholes equations
  • Several sections devoted to GPU programming techniques for solving financial problems
  • Special chapter on software includes the Computational Finance Toolbox that  provides insights to the detailed implementation of the proposed methods
Weitere Vorteile

Dieses Buch kaufen

eBook 107,09 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-61282-9
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: EPUB, PDF
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Hardcover 139,09 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-61281-2
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
Über dieses Buch

This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector.

The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models.

In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry.

Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Über den Autor

Matthias Ehrhardt is coordinator of ITN STRIKE.and professor of mathematics at University of Wuppertal, Germany.

Inhaltsverzeichnis (30 Kapitel)

  • Nonlinear Parabolic Equations Arising in Mathematical Finance

    Ševčovič, Daniel

    Seiten 3-15

  • Modeling of Herding and Wealth Distribution in Large Markets

    Jüngel, Ansgar (et al.)

    Seiten 17-29

  • Indifference Pricing in a Market with Transaction Costs and Jumps

    Cantarutti, Nicola (et al.)

    Seiten 31-46

  • Negative Rates: New Market Practice

    Kienitz, Jörg

    Seiten 47-63

  • Accurate Vega Calculation for Bermudan Swaptions

    Beinker, Mark (et al.)

    Seiten 65-82

Dieses Buch kaufen

eBook 107,09 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-61282-9
  • Versehen mit digitalem Wasserzeichen, DRM-frei
  • Erhältliche Formate: EPUB, PDF
  • eBooks sind auf allen Endgeräten nutzbar
  • Sofortiger eBook Download nach Kauf
Hardcover 139,09 €
Preis für Deutschland (Brutto)
  • ISBN 978-3-319-61281-2
  • Kostenfreier Versand für Individualkunden weltweit
  • Gewöhnlich versandfertig in 3-5 Werktagen.
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Bibliografische Information

Bibliographic Information
Buchtitel
Novel Methods in Computational Finance
Herausgeber
  • Matthias Ehrhardt
  • Michael Günther
  • E. Jan W. ter Maten
Titel der Buchreihe
The European Consortium for Mathematics in Industry
Buchreihen Band
25
Copyright
2017
Verlag
Springer International Publishing
Copyright Inhaber
Springer International Publishing AG
eBook ISBN
978-3-319-61282-9
DOI
10.1007/978-3-319-61282-9
Hardcover ISBN
978-3-319-61281-2
Auflage
1
Seitenzahl
XVIII, 606
Anzahl der Bilder
101 schwarz-weiß Abbildungen, 93 Abbildungen in Farbe
Themen