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AuthorSeydel, Rรผdiger. author
TitleTools for Computational Finance [electronic resource] / by Rรผdiger Seydel
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2004
Edition Second Edition
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Descript XVI, 244 p. online resource


This edition contains more material. The largest addition is a new section on jump processes (Section 1.9). The derivation of a related partial integroยญ differential equation is included in Appendix A3. More material is devoted to Monte Carlo simulation. An algorithm for the standard workhorse of inยญ verting the normal distribution is added to Appendix A7. New figures and more exercises are intended to improve the clarity at some places. Several further references give hints on more advanced material and on important developments. Many small changes are hoped to improve the readability of this book. Further I have made an effort to correct misprints and errors that I knew about. A new domain is being prepared to serve the needs of the computational finance community, and to provide complementary material to this book. The address of the domain is The domain is under construction; it replaces the website address www . mi. uniยญ Suggestions and remarks both on this book and on the domain are most welcome


1 Modeling Tools for Financial Options -- 2 Generating Random Numbers with Specified Distributions -- 3 Numerical Integration of Stochastic Differential Equations -- 4 Finite Differences and Standard Options -- 5 Finite-Element Methods -- 6 Pricing of Exotic Options -- Appendices -- A1 Financial Derivatives -- A2 Essentials of Stochastics -- A3 The Black-Scholes Equation -- A4 Numerical Methods -- A6 Function Spaces -- A7 Complementary Formula -- References

Mathematics Economics Mathematical Numerical analysis Mathematics Quantitative Finance Numerical Analysis


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