secondary-storefront-menu

zone2

footer-legal-menu

Terms of use

Privacy

%1 products have been added to your cart but %2 have been backordered and will be fulfilled when stock is available

Product on backorder

Current quantity limit is [maxProductQuantity], please, navigate to the cart page and change quantity of product

You will be able to resubmit promo in ${countdown} seconds. test

Please note that the taxes displayed on our website are estimated and subject to adjustment. The actual tax charges will be determined and settled during the final invoicing of your order

product-detail-component

Would you like to go to the Gale {{RECOMMENDED_COUNTRY}} site instead?

It looks like you're visiting from {{DETECTED_COUNTRY}}.

main

container

zone1

products

Marketing materials, training documents, discovery services

cengage:card

FIND YOUR SALES REPRESENTATIVE

cengage:column

Get marketing materials, training documents, discovery services.

PRODUCT SUPPORT

CUSTOMER SUPPORT

Report technical issues, errors, check system status

TECHNICAL SUPPORT

Manage product preferences, generate usage reports, simplify administrative tasks.

ADMIN TOOLS

support

cengage:galethorndikeseo

secondary-primary-menu

About Us

Blogs

Press Center

Events

News

Careers

Our Company

Request a Trial

mega-menu

secondary-account-menu

config

footer

single-column

Account Information

bundle-connector

footer-menu

Academic Institutions

K-12

Public Libraries

Government and Special Libraries

Statewide Programs

Institutions

Databases

Primary Sources

Digital Humanities Tools

eLearning

Schools/K-12 Curriculum

Books

Large Print Books by Thorndike Press

Products

Find Your Rep

Product Support

Technical Support

Customer Support

Admin Tools

Accessibility Policy

Support

Partnerships

Contact Us

gale-footer

International

North America

China

Japan

Latin America

Brazil

Region

Set your region:

FIND YOUR REP

support-order-2

footer-social-menu

Sign Up for Emails

CONNECT WITH GALE

Stay up-to-date with the latest Gale news, exclusive offers, and more.

facebook

linkedin

instagram

youtube

SOCIAL ICONS

header-component

zone3

Profile

Orders

Wish List

Fast Order Entry

My Account

footer-legal-menu-component

You may already have access to Gale content through your institution.

STUDENTS AND RESEARCHERS

Browse by Institution Type

Browse by Product Type

footer-menu-component

support-order-1

header

footer-social-menu-component

Computational Methods for Quantitative Finance

SF: COMPUTATIONAL METHODS FOR QUANTITATIVE FINANCE

Finance

Business & Economics

Gt Product Group

Binding Format

Marketing Imprint Name

B2B GT

CL Carton Count

Imprint Name

B2B & B2C

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

POST SECONDARY FOUR YEAR

PROFESSIONAL & REFERENCE

COLFR

COLJR

COLSO

COLSR

Duration

Duration Unit Of Measure

Transaction Type

Front Cover.
Editorial Board.
Other Frontmatter.
Title Page.
Copyright Page.
Preface.
Contents.
1: Basic Techniques and Models.
2: Notions of Mathematical Finance.
3: Elements of Numerical Methods for PDEs.
4: Finite Element Methods for Parabolic Problems.
5: European Options in BS Markets.
6: American Options.
7: Exotic Options.
8: Interest Rate Models.
9: Multi-asset Options.
10: Stochastic Volatility Models.
11: L&#x00E9;vy Models.
12: Sensitivities and Greeks.
13: Advanced Techniques and Models.
14: Wavelet Methods.
15: Multidimensional Diffusion Models.
16: Multidimensional L&#x00E9;vy Models.
17: Stochastic Volatility Models with Jumps.
18: Multidimensional Feller Processes.
Elliptic Variational Inequalities.
Parabolic Variational Inequalities.
Index.

Computational Methods for Quantitative Finance.css-1p8rvzy{position:absolute;padding-left:8px;}

Computational Methods for Quantitative Finance