Computational Methods in Finance

I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast Fourier TransformDerivatives Pricing via the Fourier-Cosine (COS) MethodCosine Method for Path-Dependent OptionsSaddlepoint MethodIntroduction to Finite DifferencesTaylor Expansion Finite Difference MethodStability AnalysisDerivative Approximation by Finite Differences: A Generic Approach Matrix Equati

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Year of publication:	2012
Authors:	Hirsa, Ali
Publisher:	Hoboken : CRC Press
Subject:	Optionspreistheorie \| Option pricing theory \| Computerunterstützung \| Computerized method \| Numerisches Verfahren \| Numerical analysis \| CAPM \| Black-Scholes-Modell \| Black-Scholes model \| Derivat \| Derivative \| Finanzmarkt \| Financial market
Description of contents:	Description [zbmath.org]

Extent:	Online-Ressource (440 p)
Series:	Chapman and Hall / CRC Financial Mathematics Series Chapman and Hall/CRC Financial Mathematics Ser Chapman & Hall/CRC Financial Mathematics Series A Chapman & Hall Book
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Front Cover; Computational Methods in Finance; Copyright; Dedication; Table of Contents; List of Symbols and Acronyms; List of Figures; List of Tables; Preface; Acknowledgments; Part I: Pricing and Valuation; 1. Stochastic Processes and Risk-Neutral Pricing; 2. Derivatives Pricing via Transform Techniques; 3. Introduction to Finite Differences; 4. Derivative Pricing via Numerical Solutions of PDEs; 5. Derivative Pricing via Numerical Solutions of PIDEs; 6. Simulation Methods for Derivatives Pricing; Part II: Calibration and Estimation; 7. Model Calibration 8. Filtering and Parameter EstimationReferences; Back Cover
ISBN:	978-1-4398-2957-8 ; 978-1-4665-7604-9 ; 978-1-4398-2957-8
Source:	ECONIS - Online Catalogue of the ZBW

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