Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

  • Norbert Hilber
  • Oleg Reichmann
  • Christoph Schwab
  • Christoph Winter

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Basic Techniques and Models

    1. Front Matter
      Pages 1-1
    2. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 3-9
    3. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 11-25
    4. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 27-45
    5. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 47-64
    6. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 65-74
    7. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 75-84
    8. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 85-90
    9. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 91-103
    10. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 105-122
    11. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 123-143
    12. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 145-155
  3. Advanced Techniques and Models

    1. Front Matter
      Pages 157-157
    2. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 159-176
    3. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 177-196
    4. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 197-228
    5. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 229-245
    6. Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter
      Pages 247-267
  4. Back Matter
    Pages 269-299

About this book

Introduction

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. 

The volume 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.​

Keywords

60J75, 60J25, 60J35, 60J75, 65N06, 65K15, 65N12, 65N30 computational finance derivative pricing beyond Lévy financial models with jumps numerical analysis stochastic volatility

Authors and affiliations

  • Norbert Hilber
    • 1
  • Oleg Reichmann
    • 2
  • Christoph Schwab
    • 3
  • Christoph Winter
    • 4
  1. 1.School of Management and Law, Dept. for Banking, Finance, InsuranceZurich University of Applied SciencesWinterthurSwitzerland
  2. 2.Seminar for Applied MathematicsSwiss Federal Inst. of Technology (ETH)ZurichSwitzerland
  3. 3.Seminar for Applied MathematicsSwiss Federal Inst. of Technology (ETH)ZurichSwitzerland
  4. 4.Allianz Deutschland AGMunichGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-35401-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-35400-7
  • Online ISBN 978-3-642-35401-4
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • About this book