LEADER 04168nam 22007455 450 001 9910438135903321 005 20251113203833.0 010 $a9781299336926 010 $a1299336922 010 $a9783642354014 010 $a3642354017 024 7 $a10.1007/978-3-642-35401-4 035 $a(OCoLC)828628096 035 $a(MiFhGG)GVRL6YKR 035 $a(CKB)2670000000337198 035 $a(MiAaPQ)EBC1106332 035 $a(MiFhGG)9783642354014 035 $a(DE-He213)978-3-642-35401-4 035 $a(EXLCZ)992670000000337198 100 $a20130217d2013 u| 0 101 0 $aeng 135 $aurun|---uuuua 181 $ctxt 182 $cc 183 $acr 200 10$aComputational Methods for Quantitative Finance $eFinite Element Methods for Derivative Pricing /$fby Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter 205 $a1st ed. 2013. 210 1$aBerlin, Heidelberg :$cSpringer Berlin Heidelberg :$cImprint: Springer,$d2013. 215 $a1 online resource (xiii, 299 pages) $cillustrations (some color) 225 1 $aSpringer Finance,$x2195-0687 300 $a"ISSN: 1616-0533." 311 08$a9783642435324 311 08$a3642435327 311 08$a9783642354007 311 08$a3642354009 320 $aIncludes bibliographical references and index. 327 $a1.Introduction -- Part I.Basic techniques and models: 2.Notions of mathematical finance -- 3.Elements of numerical methods for PDEs -- 4.Finite element methods for parabolic problems -- 5.European options in BS markets -- 6.American options -- 7.Exotic options -- 8.Interest rate models -- 9.Multi-asset options -- 10.Stochastic volatility models-. 11.Lévy models -- 12.Sensitivities and Greeks -- Part II.Advanced techniques and models: 13.Wavelet methods -- 14.Multidimensional diffusion models -- 15.Multidimensional Lévy models -- 16.Stochastic volatility models with jumps -- 17.Multidimensional Feller processes -- Apendices: A.Elliptic variational inequalities -- B.Parabolic variational inequalities -- References. - Index. 330 $aMany mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes.  The volume is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. 410 0$aSpringer Finance,$x2195-0687 606 $aSocial sciences$xMathematics 606 $aNumerical analysis 606 $aProbabilities 606 $aMathematics in Business, Economics and Finance 606 $aNumerical Analysis 606 $aProbability Theory 615 0$aSocial sciences$xMathematics. 615 0$aNumerical analysis. 615 0$aProbabilities. 615 14$aMathematics in Business, Economics and Finance. 615 24$aNumerical Analysis. 615 24$aProbability Theory. 676 $a332.63 676 $a332.63/2015118 676 $a332.6322101518 700 $aHilber$b Norbert$01060095 701 $aReichmann$b Oleg$0509430 701 $aSchwab$b Ch$g(Christoph)$01762184 701 $aWinter$b Christoph$01762185 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910438135903321 996 $aComputational methods for quantitative finance$94201965 997 $aUNINA