Ständig werden neue und immer komplexere Finanzprodukte entwickelt, für deren Analyse neue und immer komplexere mathematischen Modelle und Algorithmen nötig sind. Die Computational Finance löst dieses Problem. Sie integriert mathematische Analyse, finanzwirtschaftliche Theorien und Computertechnologie und stellt damit einen quantitativen Ansatz für das Risikomanagement dar. Computational Finance umfaßt computergestützte Methoden und basiert auf algorithmischen und numerischen Verfahren moderner Finanzmathematik; mit ihrer Hilfe werden auch neue Finanzprodukte geschaffen.
"Finite Differences in Pricing Financial Instruments" ist das erste Buch auf dem Markt, das in die Grundlagen der Computational Finance einführt und dabei sowohl die Theorie als auch die Anwendung in der Praxis abdeckt.

Autorentext

DOMINGO TAVELLA, Ph.D., is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance, and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Before founding Octanti Associates, Dr. Tavella was director of financial engineering at Integral Development Corporation and vice president at Bankers Trust Securities. Prior to that, he was a scientist at Stanford University and NASA Ames Research Center. CURT RANDALL, Ph.D.,is a Principal and Vice President of Applications at SciComp Inc., a leading developer of software synthesis technology for the finance industry. He has extensive experience in the application of finite difference methods to a variety of disciplines. Prior to joining SciComp, Dr. Randall developed computational methods for advanced simulations at Schlumberger Corporation. Before that, he was a research scientist at Lawrence Livermore National Laboratory.

Zusammenfassung
Computational finance is a quantitative approach to risk management. This discipline encompasses the algorithmic and numerical procedures that form the backbone of modern mathematical finance and the creation of financial products. This book introduces computational finance and covers both theory and application.

Inhalt

The Pricing Equations. Analysis of Finite Difference Methods. Special Issues. Coordinate Transformations. Numerical Examples. Index.