Tools for Computational Finance

  • Rüdiger Seydel

Part of the Universitext book series (UTX)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Rüdiger Seydel
    Pages 1-50
  3. Rüdiger Seydel
    Pages 99-140
  4. Rüdiger Seydel
    Pages 141-164
  5. Rüdiger Seydel
    Pages 165-189
  6. Back Matter
    Pages 191-227

About this book

Introduction

Basic principles underlying the transactions of financial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical finance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of financial derivatives, a need for sophisticated computational technology has developed. For ex­ ample, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial differential equation. Fast and accurate numerical algorithms have become essential tools to price financial derivatives and to manage portfolio risks. The required methods aggregate to the new field of Computational Finance. This discipline still has an aura of mysteriousness; the first specialists were sometimes called rocket scientists. So far, the emerging field of computational finance has hardly been discussed in the mathematical finance literature. This book attempts to fill the gap. Basic principles of computational finance 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 Differential Equations for Options Part IV (Appendices A1 ... A7): Further Requisits and Additional Material.

Keywords

Derivative pricing Finance Numerical integration Optionen Stochastic Differential Equations derivatives differential equation exotische Optionen financial markets finite element method mathematical finance numerics probability rating statistics

Authors and affiliations

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

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-04711-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 2002
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-43609-6
  • Online ISBN 978-3-662-04711-8
  • Series Print ISSN 0172-5939
  • Series Online ISSN 2191-6675
  • About this book