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Tools for Computational Finance

  • Rüdiger U. Seydel

Table of contents

  1. Front Matter
    Pages I-XIX
  2. Rüdiger U. Seydel
    Pages 1-60
  3. Rüdiger U. Seydel
    Pages 91-121
  4. Rüdiger U. Seydel
    Pages 123-182
  5. Rüdiger U. Seydel
    Pages 183-207
  6. Rüdiger U. Seydel
    Pages 209-237
  7. Back Matter
    Pages 239-299

About this book

Introduction

Basic principles underlying the transactions of ?nancial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical ?nance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of ?nancial derivatives, a need for sophisticated computational technology has developed. For - ample, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial di?erential equation. Fast and accurate numerical algorithms have become essential tools to price ?nancial derivatives and to manage portfolio risks. The required methods aggregate to the new ?eld of Computational Finance. This discipline still has an aura of mysteriousness; the ?rst specialists were sometimes called rocket scientists. So far, the emerging ?eld of computational ?nance has hardly been discussed in the mathematical ?nance literature. This book attempts to ?ll the gap. Basic principles of computational ?nance are introduced in a monograph with textbook character. The book is divided into four parts, arranged in six chapters and seven appendices. The general organization is Part I (Chapter 1): Financial and Stochastic Background Part II (Chapters 2, 3): Tools for Simulation Part III (Chapters 4, 5, 6): Partial Di?erential Equations for Options PartIV(AppendicesA1...A7):FurtherRequisitsandAdditionalMaterial.

Keywords

Approximation Black-Scholes-Equation Black/Scholes Computational Finance Derivative pricing Exotic options Exotische Optionen Interpolation Mathematical Finance Mathematische Finanz Numerik Preisen von Optionen S linear optimization modeling

Authors and affiliations

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

Bibliographic information