Financial engineering with finite elements
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics.
* Explains little understood techniques that will assist in the accurate more speedy pricing of options
* Centres on the practical application of these useful techniques
* Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial market
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Static ID Problems
10 other sections not shown
analytical solution applied approach approximate solution Asian options assume barrier options basis functions basket boundary conditions boundary element boundary value problem CD CD CD CD CM CM CD coefficients collocation method collocation points Crank-Nicolson method cubic Hermite defined denoting Dirichlet conditions discretization discussed Dividend yield domain early exercise element matrices Euler method example final condition finance Galerkin method geometric Brownian motion given in Table global implied volatility initial condition initial value problems integral Interest rate interpolation interval Iteration knock-out barrier Kolmogorov equation linear system Lipschitz continuous matrix maturity mesh nodes nonlinear numerical solution optimal option pricing ordinary initial value Ornstein-Uhlenbeck process parabolic PDE passport option payoff PDE2D polynomial portfolio pricing PDE quadratic second order Section self-adjoint shape functions solved spatial variables step stochastic process techniques Theorem time-steps underlying usually vector volatility Wilmott zero