Numerical Partial Differential Equations
β Karel in βt Hout
π Library
π
2017
π Palgrave MacMillan
π English
β¦ LIBER β¦
π
Numerical Partial Differential Equations in Finance Explained: An Introduction to Computational Finance
β Scribed by Karel in 't Hout (auth.)
- Publisher
- Palgrave Macmillan UK
- Year
- 2017
- Tongue
- English
- Leaves
- 134
- Series
- Financial Engineering Explained
- Edition
- 1
- Category
- Library
β¬ Acquire This Volume
No coin nor oath required. For personal study only.
β¦ Synopsis
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.
β¦ Table of Contents
Front Matter ....Pages i-xiv
Financial Option Valuation (Karel in βt Hout)....Pages 1-8
Partial Differential Equations (Karel in βt Hout)....Pages 9-14
Spatial Discretization I (Karel in βt Hout)....Pages 15-23
Spatial Discretization II (Karel in βt Hout)....Pages 25-35
Numerical Study: Space (Karel in βt Hout)....Pages 37-44
The Greeks (Karel in βt Hout)....Pages 45-50
Temporal Discretization (Karel in βt Hout)....Pages 51-60
Numerical Study: Time (Karel in βt Hout)....Pages 61-68
Cash-or-Nothing Options (Karel in βt Hout)....Pages 69-73
Barrier Options (Karel in βt Hout)....Pages 75-79
American-Style Options (Karel in βt Hout)....Pages 81-90
Merton Model (Karel in βt Hout)....Pages 91-98
Two-Asset Options (Karel in βt Hout)....Pages 99-112
Back Matter ....Pages 113-128
β¦ Subjects
Financial Engineering
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