9781420082647

Computing Financial Derivatives: A Finite-Difference Approach

by ;
  • ISBN13:

    9781420082647

  • ISBN10:

    1420082647

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2019-05-15
  • Publisher: Chapman & Hall/
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Summary

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretisation techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. What sets this book apart is its detailed description of mathematical modeling as well as the focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and Semi-Lagrangian time integration schemes.

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