Tools for computational finance.
type: Item
instance of: scholarly article
title: Tools for computational finance.
zbMATH Open document ID: 1042.91049
published in: Universitext
publication date: 2003-09-23T00:00:00Z
review text: This book provides useful numerical tools for pricing financial options. It covers Monte Carlo simulation and numerical techniques, such as finite-difference and finite-element methods, for solving partial differential equations. Fundamental concepts of options and of stochastic calculus are also presented. There are exercises at the end of each of the six chapters.
reviewed by: E. S. W. Shiu
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91-08
Mathematics Subject Classification ID: 91-01
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65-01
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65N06
zbMATH DE Number: 1984943
zbMATH Keywords: option pricing
zbMATH Keywords: exotic options
zbMATH Keywords: Asian option
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: free boundary-value problem
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: stochastic calculus
zbMATH Keywords: finite-difference methods
zbMATH Keywords: finite-element methods
zbMATH Keywords: upwind schemes
zbMATH Keywords: high-resolution methods
author: Rüdiger U. Seydel
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1984943