Numerical Partial Differential Equations in Finance Explained : An Introduction to Computational Finance / / by Karel in 't Hout
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| Autore: |
in 't Hout Karel
|
| Titolo: |
Numerical Partial Differential Equations in Finance Explained : An Introduction to Computational Finance / / by Karel in 't Hout
|
| Pubblicazione: | London : , : Palgrave Macmillan UK : , : Imprint : Palgrave Macmillan, , 2017 |
| Edizione: | 1st ed. 2017. |
| Descrizione fisica: | 1 online resource (XIV, 128 p. 42 illus.) |
| Disciplina: | 650.01513 |
| Soggetto topico: | Financial engineering |
| Financial Engineering | |
| Nota di bibliografia: | Includes bibliographical references and index. |
| Nota di contenuto: | Chapter1. Financial option valuation.-Chapter2. Partial differential equations -- Chapter3 Spatial discretization I -- Chapter4. Spatial discretization II -- Chapter5. Numerical study: space -- Chapter6. The Greeks -- Chapter7. Temporal discretization -- Chapter8. Numerical study: time -- Chapter9. Cash-or-nothing options -- Chapter10. Barrier options -- Chapter11. American-style options -- Chapter12. Merton model -- Chapter13. Two-asset options. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Numerical Partial Differential Equations in Finance Explained |
| ISBN: | 1-137-43569-0 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910255044303321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Financial Engineering Explained