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作者 In't Hout, Karel, author
書名 Numerical partial differential equations in finance explained : an introduction to computational finance / by Karel in't Hout
出版項 London : Palgrave Macmillan UK : Imprint: Palgrave Macmillan, 2017
國際標準書號 9781137435699 (electronic bk.)
9781137435682 (paper)
國際標準號碼 10.1057/978-1-137-43569-9 doi
book jacket
說明 1 online resource (xiv, 128 pages) : illustrations, digital ; 24 cm
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
text file PDF rda
系列 Financial engineering explained
Financial engineering explained
附註 Chapter1. Financial option valuation -- Chapter2. Partial differential equations -- Chapter3 Spatial discretization I -- Chapter4. Spatial discretization II -- Chapter5. Numerical study: space -- Chapter6. The Greeks -- Chapter7. Temporal discretization -- Chapter8. Numerical study: time -- Chapter9. Cash-or-nothing options -- Chapter10. Barrier options -- Chapter11. American-style options -- Chapter12. Merton model -- Chapter13. Two-asset options
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs) It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance
Host Item Springer eBooks
主題 Business mathematics
Differential equations, Partial
Financial Engineering
Alt Author SpringerLink (Online service)
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