This easy-to-read book offers a snapshot of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended. The largest addition is a new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. New sections and subsections are devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, numerous exercises, and the addition of more background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Klappentext

Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Inhalt

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.- Al Financial Derivatives.- A2 Essentials of Stochastics.- A3 The Black-Scholes Equation.- A4 Numerical Methods.- A6 Function Spaces.- A7 Complementary Formula.- References.