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9781119719670

Numerical Methods in Computational Finance A Partial Differential Equation (PDE/FDM) Approach

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  • ISBN13:

    9781119719670

  • ISBN10:

    1119719674

  • Edition: 1st
  • Format: Hardcover
  • Copyright: 2021-12-06
  • Publisher: Wiley
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Summary

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach defines a repeatable process to introduce PDEs in finance, analyse them mathematically, devise robust and accurate numerical algorithms to approximate these PDEs and then map these algorithms to C++ and C#.

Written in an incremental way in order to facilitate a range of readers at various skill levels and experience, each chapter contains hands-on exercises and projects that form an integral part of the text.

The book consists of eight parts. Each part contains several chapters and deals with a single autonomous topic:

  • PDEs (generic)
  • PDEs in finance
  • Fundamentals FDM (generic)
  • FDM in finance
  • Advanced FDM (generic)
  • Advanced FDM in finance
  • Software Frameworks in C++ and C#
  • Applications of machine learning in computational finance

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