Using a 'learning by calculating' approach, this comprehensive introductory text shows how stochastic computational methods are used across the field of finance. The revised and expanded fifth edition includes updates, as well as new material and exercises.

Provides a broad understanding of practical techniques and algorithms

Ventures deep into the subject area while assuming only minimal background knowledge

Includes many exercises and numerous illustrations

Provides a broad understanding of practical techniques and algorithms Ventures deep into the subject area while assuming only minimal background knowledge Includes many exercises and numerous illustrations

Autorentext

Rüdiger U. Seydel is professor emeritus of numerical analysis. He is the former head of a research group on computational finance at the University of Cologne. He also worked in bifurcation and dynamical systems.

Zusammenfassung
Using a 'learning by calculating' approach, this comprehensive introductory text shows how stochastic computational methods are used across the field of finance. The revised and expanded fifth edition includes updates, as well as new material and exercises.

Inhalt

1 Modeling Tools for Financial Options.- 2 Generating Random Numbers with Specified Distributions.- 3 Monte Carlo Simulation with Stochastic Differential Equations.- 4 Standard Methods for Standard Options.- 5 Finite-Element Methods.- 6 Pricing of Exotic Options.- 7 Beyond Black and Scholes.- A Financial Derivatives.- B Stochastic Tools.- C Numerical Methods.- D Extended Tree Methods.- E Complementary Material.- References.- Index.