Introduction to the numerical calculation of financial derivates. Computational finance

DOI10.1007/978-3-662-50299-0zbMath1367.91003OpenAlexW4243218735MaRDI QIDQ2364730

Rüdiger U. Seydel

Publication date: 24 July 2017

Published in: Springer-Lehrbuch (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-50299-0

zbMATH Keywords

stochastic processesMonte Carlo simulationfinancial mathematicscomputational financeapplied numericsfinancial derivates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

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