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Pricing Derivatives Under Lévy Models : Modern Finite-Difference and Pseudo-Differential Operators Approach / Andrey Itkin
| Pricing Derivatives Under Lévy Models : Modern Finite-Difference and Pseudo-Differential Operators Approach / Andrey Itkin |
| Autore | Itkin, Andrey L. |
| Pubbl/distr/stampa | Cham, : Birkhauser, 2017 |
| Descrizione fisica | xx, 308 p. : ill. ; 24 cm |
| Soggetto topico |
35S05 - Pseudodifferential operators as generalizations of partial differential operators [MSC 2020]
91Gxx - Actuarial science and mathematical finance [MSC 2020] 65M06 - Finite difference methods for initial value and initial-boundary value problems involving PDEs [MSC 2020] 65M12 - Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs [MSC 2020] 47N40 - Applications of operator theory in numerical analysis [MSC 2020] |
| Soggetto non controllato |
Calibration
Computational finance Finite-Difference Schemes Finite-difference methods Integral Transforms Lévy processes Option pricing Partial differential equations Quantitative Finance Stochastic skew model |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123462 |
Itkin, Andrey L.
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| Cham, : Birkhauser, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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The Fitted Finite Volume and Power Penalty Methods for Option Pricing / Song Wang
| The Fitted Finite Volume and Power Penalty Methods for Option Pricing / Song Wang |
| Autore | Wang, Song |
| Pubbl/distr/stampa | Singapore, : Springer, 2020 |
| Descrizione fisica | viii, 94 p. : ill. ; 24 cm |
| Soggetto topico |
65M12 - Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs [MSC 2020]
91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 65N08 - Finite volume methods for boundary value problems involving PDEs [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 65K15 - Numerical methods for variational inequalities and related problems [MSC 2020] |
| Soggetto non controllato |
Black-Scholes equations
Computational finance Finite volume methods Numerical Analysis Optimal Control Optimization Option pricing Penalty Methods Variational inequality |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0250295 |
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Wang, Song
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| Singapore, : Springer, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Tools for Computational Finance / Rüdiger U. Seydel
| Tools for Computational Finance / Rüdiger U. Seydel |
| Autore | Seydel, Rüdiger U. |
| Edizione | [6. ed] |
| Pubbl/distr/stampa | London, : Springer, 2017 |
| Descrizione fisica | xxii, 486 p. : ill. ; 24 cm |
| Soggetto topico |
65-XX - Numerical analysis [MSC 2020]
91-XX - Game theory, economics, finance, and other social and behavioral sciences [MSC 2020] 91G20 - Derivative securities (option pricing, hedging, etc.) [MSC 2020] 91G60 - Numerical methods (including Monte Carlo methods) [MSC 2020] |
| Soggetto non controllato |
Algorithms for finance
Black-Scholes equations Computational finance Financial Engineering Finite element methods Finite-difference methods Monte-Carlo Simulation Option pricing Pricing of options Quantitative Finance Random Number Generator Risk analysis |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNICAMPANIA-VAN0123726 |
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Seydel, Rüdiger U.
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| London, : Springer, 2017 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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