High-performance numerical pricing methods
✍ Scribed by Hans Moritsch; Siegfried Benkner
- Book ID
- 102120146
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 226 KB
- Volume
- 14
- Category
- Article
- ISSN
- 1532-0626
- DOI
- 10.1002/cpe.643
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
This book describes computational finance tools. It covers fundamental numerical analysis and computational techniques, such as option pricing, and gives special attention to simulation and optimization. Many chapters are organized as case studies around portfolio insurance and risk estimation probl
Non-stationary discrete time waveform relaxation methods for Abel systems of Volterra integral equations using fractional linear multistep formulae are introduced. Fully parallel discrete waveform relaxation methods having an optimal convergence rate are constructed. A significant expression of the