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Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance

  • Karel in 't Hout

Part of the Financial Engineering Explained book series (FEX)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Karel in ’t Hout
    Pages 1-8
  3. Karel in ’t Hout
    Pages 9-14
  4. Karel in ’t Hout
    Pages 15-23
  5. Karel in ’t Hout
    Pages 25-35
  6. Karel in ’t Hout
    Pages 37-44
  7. Karel in ’t Hout
    Pages 45-50
  8. Karel in ’t Hout
    Pages 51-60
  9. Karel in ’t Hout
    Pages 61-68
  10. Karel in ’t Hout
    Pages 69-73
  11. Karel in ’t Hout
    Pages 75-79
  12. Karel in ’t Hout
    Pages 81-90
  13. Karel in ’t Hout
    Pages 91-98
  14. Karel in ’t Hout
    Pages 99-112
  15. Back Matter
    Pages 113-128

About this book

Introduction

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach.  In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient.

The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.

Keywords

Financial Engineering Computational Finance Partial Differential Derivative Valuation Finance Mathematics

Authors and affiliations

  • Karel in 't Hout
    • 1
  1. 1.Department of Mathematics and Computer ScienceUniversity of AntwerpAntwerpBelgium

Bibliographic information

  • DOI https://doi.org/10.1057/978-1-137-43569-9
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2017
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-1-137-43568-2
  • Online ISBN 978-1-137-43569-9
  • Buy this book on publisher's site