Computational Methods for Option Pricing

Front Cover
SIAM, Jul 18, 2005 - Technology & Engineering - 297 pages
0 Reviews
This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

FR30ch1
1
FR30ch2
23
FR30ch3
57
FR30ch4
95
FR30ch5
151
FR30ch6
185
FR30ch7
219
FR30ch8
243
FR30ch9
263
FR30bm
287
Copyright

Other editions - View all

Common terms and phrases

Bibliographic information