Tools for computational finance

DOI10.1007/978-1-4471-7338-0zbMath1369.91002OpenAlexW4298310972MaRDI QIDQ5919817

Rüdiger U. Seydel

Publication date: 30 June 2017

Published in: Universitext (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-7338-0

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) 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) Random number generation in numerical analysis (65C10) Numerical solutions to stochastic differential and integral equations (65C30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (7)

Approximate solution of nonlinear Black-Scholes equation via a fully discretized fourth-order method ⋮ Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ Pricing options on investment project contraction and ownership transfer using a finite volume scheme and an interior penalty method ⋮ Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes ⋮ Representation of exchange option prices under stochastic volatility jump-diffusion dynamics ⋮ A computational method to price with transaction costs under the nonlinear Black-Scholes model ⋮ Hermite Interpolation and Data Processing Errors on Riemannian Matrix Manifolds

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