Tools for Computational Finance

  • Rüdiger Seydel

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XVI
  2. Rüdiger Seydel
    Pages 1-55
  3. Rüdiger Seydel
    Pages 109-150
  4. Rüdiger Seydel
    Pages 151-174
  5. Rüdiger Seydel
    Pages 175-202
  6. Back Matter
    Pages 203-244

About this book


This edition contains more material. The largest addition is a new section on jump processes (Section 1.9). The derivation of a related partial integro­ differential equation is included in Appendix A3. More material is devoted to Monte Carlo simulation. An algorithm for the standard workhorse of in­ verting the normal distribution is added to Appendix A7. New figures and more exercises are intended to improve the clarity at some places. Several further references give hints on more advanced material and on important developments. Many small changes are hoped to improve the readability of this book. Further I have made an effort to correct misprints and errors that I knew about. A new domain is being prepared to serve the needs of the computational finance community, and to provide complementary material to this book. The address of the domain is The domain is under construction; it replaces the website address www . mi. uni­ Suggestions and remarks both on this book and on the domain are most welcome.


Black/Scholes Computational Finance Finance Mathematische Finanz Numerical integration Optionen Stochastic Differential Equations boundary element method derivatives differential equation exotische Optionen finite element method mathematical finance numerics rating

Authors and affiliations

  • Rüdiger Seydel
    • 1
  1. 1.Institute of MathematicsUniversity of KölnKölnGermany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-40604-4
  • Online ISBN 978-3-662-22551-6
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • Buy this book on publisher's site