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The European Consortium for Mathematics in Industry

Novel Methods in Computational Finance

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

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  • 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
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eBook $119.00
price for USA in USD (gross)
  • ISBN 978-3-319-61282-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $159.99
price for USA in USD
  • ISBN 978-3-319-61281-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $159.99
price for USA in USD
  • ISBN 978-3-319-87040-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

About the authors

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

Table of contents (30 chapters)

Table of contents (30 chapters)

Buy this book

eBook $119.00
price for USA in USD (gross)
  • ISBN 978-3-319-61282-9
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $159.99
price for USA in USD
  • ISBN 978-3-319-61281-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $159.99
price for USA in USD
  • ISBN 978-3-319-87040-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Novel Methods in Computational Finance
Editors
  • Matthias Ehrhardt
  • Michael Günther
  • E. Jan W. ter Maten
Series Title
The European Consortium for Mathematics in Industry
Series Volume
25
Copyright
2017
Publisher
Springer International Publishing
Copyright Holder
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
Softcover ISBN
978-3-319-87040-3
Edition Number
1
Number of Pages
XVIII, 606
Number of Illustrations
101 b/w illustrations, 93 illustrations in colour
Topics