This text is a practical introduction to computational finance, formulating methods and algorithms that can be implemented and used. The first part presents the basic features of options and mathematical models and the foundations of simulation methods such as Monte Carlo methods. The main topic of the book is the valuation of options based on the partial differential equations and inequalities of Black and Scholes. Basic approaches of finite-difference and finite-element methods are explained. Numerous figures and many examples illustrate the concepts. An extensive appendix provides additional material for readers with little background in finance, stochastics or computational methods.
- ISBN10 3662225522
- ISBN13 9783662225523
- Publish Date 15 January 2014 (first published June 2002)
- Publish Status Withdrawn
- Out of Print 18 October 2014
- Publish Country US
- Imprint Springer
- Format Paperback (US Trade)
- Pages 264
- Language English