About this book
Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches.
Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains:
- A new chapter on incomplete markets, which links to new appendices on viscosity solutions and the Dupire equation;
- Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7)
- Additional material in the field of analytical methods including Kim’s integral representation and its computation
- Guidelines for comparing algorithms and judging their efficiency
- An extended chapter on finite elements that now includes a discussion of two-asset options
- Additional exercises, figures and references
Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world.
Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.
- DOI https://doi.org/10.1007/978-1-4471-2993-6
- Copyright Information Springer-Verlag London Limited 2012
- Publisher Name Springer, London
- eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
- Print ISBN 978-1-4471-2992-9
- Online ISBN 978-1-4471-2993-6
- Series Print ISSN 0172-5939
- Series Online ISSN 2191-6675
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