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＜電子ブック＞
Tools for Computational Finance / by Rüdiger U. Seydel
(Universitext. ISSN:21916675)

版	3rd ed. 2006.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2006
本文言語	英語
大きさ	XIX, 304 p. 75 illus : online resource
著者標目	*Seydel, Rüdiger U author SpringerLink (Online service)
件　名	LCSH:Social sciences -- Mathematics  全ての件名で検索 LCSH:Numerical analysis FREE:Mathematics in Business, Economics and Finance FREE:Numerical Analysis
一般注記	Modeling Tools for Financial Options -- Generating Random Numbers with Specified Distributions -- Simulation with Stochastic Differential Equations -- Standard Methods for Standard Options -- Finite-Element Methods -- Pricing of Exotic Options Basic principles underlying the transactions of ?nancial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical ?nance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of ?nancial derivatives, a need for sophisticated computational technology has developed. For - ample, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial di?erential equation. Fast and accurate numerical algorithms have become essential tools to price ?nancial derivatives and to manage portfolio risks. The required methods aggregate to the new ?eld of Computational Finance. This discipline still has an aura of mysteriousness; the ?rst specialists were sometimes called rocket scientists. So far, the emerging ?eld of computational ?nance has hardly been discussed in the mathematical ?nance literature. This book attempts to ?ll the gap. Basic principles of computational ?nance 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 Di?erential Equations for Options PartIV(AppendicesA1...A7):FurtherRequisitsandAdditionalMaterial HTTP:URL=https://doi.org/10.1007/3-540-27926-1

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