computational methods for option pricing frontiers in applied mathematics

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Computational Methods For Option Pricing

Author : Yves Achdou
ISBN : 0898717493
Genre : Options (Finance)
File Size : 69. 91 MB
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The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.

Mathematical Modelling And Numerical Methods In Finance

Author :
ISBN : 9780080931005
Genre : Mathematics
File Size : 29. 92 MB
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Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field

Computational Methods For Inverse Problems

Author : Curtis R. Vogel
ISBN : 9780898715507
Genre : Mathematics
File Size : 44. 26 MB
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Provides a basic understanding of both the underlying mathematics and the computational methods used to solve inverse problems.

Handbooks In Operations Research And Management Science Financial Engineering

Author : John R. Birge
ISBN : 0080553257
Genre : Business & Economics
File Size : 24. 77 MB
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The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Numerical Methods In Finance

Author : René Carmona
ISBN : 9783642257469
Genre : Mathematics
File Size : 81. 52 MB
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Numerical methods in finance have emerged as a vital field at the crossroads of probability theory, finance and numerical analysis. Based on presentations given at the workshop Numerical Methods in Finance held at the INRIA Bordeaux (France) on June 1-2, 2010, this book provides an overview of the major new advances in the numerical treatment of instruments with American exercises. Naturally it covers the most recent research on the mathematical theory and the practical applications of optimal stopping problems as they relate to financial applications. By extension, it also provides an original treatment of Monte Carlo methods for the recursive computation of conditional expectations and solutions of BSDEs and generalized multiple optimal stopping problems and their applications to the valuation of energy derivatives and assets. The articles were carefully written in a pedagogical style and a reasonably self-contained manner. The book is geared toward quantitative analysts, probabilists, and applied mathematicians interested in financial applications.

Iterative Methods For Optimization

Author : C. T. Kelley
ISBN : 161197092X
Genre : Iterative methods (Mathematics)
File Size : 89. 93 MB
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This book presents a carefully selected group of methods for unconstrained and bound constrained optimization problems and analyzes them in depth both theoretically and algorithmically. It focuses on clarity in algorithmic description and analysis rather than generality, and while it provides pointers to the literature for the most general theoretical results and robust software, the author thinks it is more important that readers have a complete understanding of special cases that convey essential ideas. A companion to Kelley's book, Iterative Methods for Linear and Nonlinear Equations (SIAM, 1995), this book contains many exercises and examples and can be used as a text, a tutorial for self-study, or a reference. Iterative Methods for Optimization does more than cover traditional gradient-based optimization: it is the first book to treat sampling methods, including the Hooke-Jeeves, implicit filtering, MDS, and Nelder-Mead schemes in a unified way, and also the first book to make connections between sampling methods and the traditional gradient-methods. Each of the main algorithms in the text is described in pseudocode, and a collection of MATLAB codes is available. Thus, readers can experiment with the algorithms in an easy way as well as implement them in other languages.

Handbook For Matrix Computations

Author : Thomas F. Coleman
ISBN : 1611971047
Genre : Matrices
File Size : 87. 56 MB
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Provides the user with a step-by-step introduction to Fortran 77, BLAS, LINPACK, and MATLAB. It is a reference that spans several levels of practical matrix computations with a strong emphasis on examples and "hands on" experience.

Iterative Methods For Linear And Nonlinear Equations

Author : C. T. Kelley
ISBN : 1611970946
Genre : Iterative methods (Mathematics)
File Size : 37. 95 MB
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Linear and nonlinear systems of equations are the basis for many, if not most, of the models of phenomena in science and engineering, and their efficient numerical solution is critical to progress in these areas. This is the first book to be published on nonlinear equations since the mid-1980s. Although it stresses recent developments in this area, such as Newton-Krylov methods, considerable material on linear equations has been incorporated. This book focuses on a small number of methods and treats them in depth. The author provides a complete analysis of the conjugate gradient and generalized minimum residual iterations as well as recent advances including Newton-Krylov methods, incorporation of inexactness and noise into the analysis, new proofs and implementations of Broyden's method, and globalization of inexact Newton methods. Examples, methods, and algorithmic choices are based on applications to infinite dimensional problems such as partial differential equations and integral equations. The analysis and proof techniques are constructed with the infinite dimensional setting in mind and the computational examples and exercises are based on the MATLAB environment.

Computational Methods In Science And Engineering

Author : George Maroulis
ISBN : 0735406855
Genre : Science
File Size : 46. 60 MB
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The aim of ICCMSE 2008 is to bring together computational scientists and engineers from several disciplines in order to share methods, methodologies and ideas. The potential readers are all the scientists with interest in: Computational Mathematics, Theoretical Physics, Computational Physics, Theoretical Chemistry, Computational Chemistry, Mathematical Chemistry, Computational Engineering, Computational Mechanics, Computational Biology and Medicine, Scientific Computation, High Performance Computing, Parallel and Distributed Computing, Visualization, Problem Solving Environments, Software Tools, Advanced Numerical Algorithms, Modelling and Simulation of Complex Systems, Web-based Simulation and Computing, Grid-based Simulation and Computing, Computational Grids, and Computer Science.

Methods And Applications Of Analysis

Author :
ISBN : UOM:39015060980375
Genre : Mathematical analysis
File Size : 87. 50 MB
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