Computing Financial Derivatives

Résumé

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 discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

Contenu

Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.