Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

ISBN: 978-3-642-35400-7 (Print) 978-3-642-35401-4 (Online)

Table of contents (16 chapters)

  1. Front Matter

    Pages I-XIII

  2. Basic Techniques and Models

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-9

      Notions of Mathematical Finance

    3. No Access

      Book Chapter

      Pages 11-25

      Elements of Numerical Methods for PDEs

    4. No Access

      Book Chapter

      Pages 27-45

      Finite Element Methods for Parabolic Problems

    5. No Access

      Book Chapter

      Pages 47-64

      European Options in BS Markets

    6. No Access

      Book Chapter

      Pages 65-74

      American Options

    7. No Access

      Book Chapter

      Pages 75-84

      Exotic Options

    8. No Access

      Book Chapter

      Pages 85-90

      Interest Rate Models

    9. No Access

      Book Chapter

      Pages 91-103

      Multi-asset Options

    10. No Access

      Book Chapter

      Pages 105-122

      Stochastic Volatility Models

    11. No Access

      Book Chapter

      Pages 123-143

      Lévy Models

    12. No Access

      Book Chapter

      Pages 145-155

      Sensitivities and Greeks

  3. Advanced Techniques and Models

    1. Front Matter

      Pages 157-157

    2. No Access

      Book Chapter

      Pages 159-176

      Wavelet Methods

    3. No Access

      Book Chapter

      Pages 177-196

      Multidimensional Diffusion Models

    4. No Access

      Book Chapter

      Pages 197-228

      Multidimensional Lévy Models

    5. No Access

      Book Chapter

      Pages 229-245

      Stochastic Volatility Models with Jumps

    6. No Access

      Book Chapter

      Pages 247-267

      Multidimensional Feller Processes

  4. Back Matter

    Pages 269-299