Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (by Yves Achdou, Olivier Pironneau)


Author(s): Yves Achdou, Olivier Pironneau

Publisher: Society for Industrial and Applied Mathematic
Publish date: 2005-07-01
ISBN-10: 0898715733
ISBN-13: 9780898715736
Language: English
Description: 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… more…

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