Understanding Numerical Analysis for Option Pricing
Published on 1. June 2020
Book
Hardback
300 pages
978-0-521-62114-4 (ISBN)
Description
An introduction to mathematical concepts useful in understanding the algorithms used in finance, especially in option pricing and portfolio management. Concepts are introduced in the context of financial questions and illustrated with examples. The result is a uniform treatment of the subject suitable for students and practitioners in mathematical finance.
More details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
Professional and scholarly
Illustrations
50 exercises
Dimensions
Height: 230 mm
ISBN-13
978-0-521-62114-4 (9780521621144)
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Schweitzer Classification
Persons
Content
Preface. Part I. Numerical Methods for Discrete Models: 1. Algorithms for option prices in discrete models; 2. Optimal control of discrete financial markets; Part II. Background on Continuous Models: 3. Introduction to stochastic calculus; 4. Option pricing and partial differential equations; 5. Stochastic optimal control in continuous time; Part III. Numerical Methods for Continuous Models: 7. Finite difference methods for option prices; 8. Finite difference methods for stochastic control problems; 9. Tree methods for option prices; 10. Statistics for diffusion processes; Appendix A. Some topics in stochastic process theory; Appendix B. Numerical methods for linear equations and optimisation; Bibliography.