This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.
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Book Description
This book is for anyone who wishes to become better acquainted with the modern tools of numerical analysis in finance. Some important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters.
About the Author
Yves Achdou is a Professor at the Université Denis Diderot, Paris. He was awarded the Prix Blaise Pascal de l'Académie des Sciences in 1998.
Olivier Pironneau is a Professor at the Université Pierre et Marie Curie, Paris. He has been a member of the Académie des Sciences since 2002 and is the author of more than 300 articles and eight books.
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Most Helpful Customer Reviews
1 of 2 people found the following review helpful:
1.0 out of 5 stars
Worst book I ever read,
By
This review is from: Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Paperback)
This book is only the material for author's classes.
If you read the book just for your reseach, you will find many loophole in the contents. Many explanations are skipped so it's very hard to understand the author's intention in this book. Thank you.
0 of 1 people found the following review helpful:
5.0 out of 5 stars
An excellent computational book,
By Alex The Centrist (USA) - See all my reviews
This review is from: Computational Methods for Option Pricing (Frontiers in Applied Mathematics) (Paperback)
The previous reviewer is completely wrong in giving this book one star. As a quant with a computational background, I have found this book to have excellent material.
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Inside This Book
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First Sentence:
After a brief introduction to options and option pricing, we briefly discuss two pricing methods which will not be used in the other chapters of the book: the Monte-Carlo simulations and the binomial tree methods. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Let Assumption, Black-Scholes Equation Solver New!
Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
After a brief introduction to options and option pricing, we briefly discuss two pricing methods which will not be used in the other chapters of the book: the Monte-Carlo simulations and the binomial tree methods. Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Let Assumption, Black-Scholes Equation Solver New!
Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 52
books:
See all 52 books this book cites
- Matrix Computations (Johns Hopkins Studies in Mathematical Sciences)(3rd Edition) by Gene H. Golub in Front Matter, and Back Matter
- Multigrid Methods (Frontiers in Applied Mathematics) by Stephen F. McCormick in Front Matter, and Back Matter
- Iterative Methods for Linear and Nonlinear Equations (Frontiers in Applied Mathematics) by C. T. Kelley in Front Matter, and Back Matter
- Smart Material Systems: Model Development (Frontiers in Applied Mathematics) by Ralph Smith in Front Matter
- Bioterrorism: Mathematical Modeling Applications in Homeland Security (Frontiers in Applied Mathematics) by H. T. Banks in Front Matter
See all 52 books this book cites
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