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A Workout in Computational Finance.
A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability t...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley,
2013.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000Mu 4500 | ||
|---|---|---|---|
| 001 | EBOOKCENTRAL_ocn861081091 | ||
| 003 | OCoLC | ||
| 005 | 20240329122006.0 | ||
| 006 | m o d | ||
| 007 | cr |n||||||||| | ||
| 008 | 131019s2013 xx o 000 0 eng d | ||
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| 020 | |a 9781119973485 | ||
| 020 | |a 1119973481 | ||
| 029 | 1 | |a DEBBG |b BV044177927 | |
| 029 | 1 | |a DEBSZ |b 397649711 | |
| 029 | 1 | |a DEBSZ |b 449391078 | |
| 035 | |a (OCoLC)861081091 | ||
| 050 | 4 | |a HG106 .A387 2013 | |
| 082 | 0 | 4 | |a 332.01 |a 332.0151 |
| 049 | |a UAMI | ||
| 100 | 1 | |a Binder, Andreas. | |
| 245 | 1 | 2 | |a A Workout in Computational Finance. |
| 260 | |a Hoboken : |b Wiley, |c 2013. | ||
| 300 | |a 1 online resource (338 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 505 | 0 | |a A Workout in Computational Finance; Contents; Acknowledgements; About the Authors; 1 Introduction and Reading Guide; 2 Binomial Trees; 2.1 Equities and Basic Options; 2.2 The One Period Model; 2.3 The Multiperiod Binomial Model; 2.4 Black-Scholes and Trees; 2.5 Strengths and Weaknesses of Binomial Trees; 2.5.1 Ease of Implementation; 2.5.2 Oscillations; 2.5.3 Non-recombining Trees; 2.5.4 Exotic Options and Trees; 2.5.5 Greeks and Binomial Trees; 2.5.6 Grid Adaptivity and Trees; 2.6 Conclusion; 3 Finite Differences and the Black-Scholes PDE; 3.1 A Continuous Time Model for Equity Prices. | |
| 505 | 8 | |a 3.2 Black-Scholes Model: From the SDE to the PDE3.3 Finite Differences; 3.4 Time Discretization; 3.5 Stability Considerations; 3.6 Finite Differences and the Heat Equation; 3.6.1 Numerical Results; 3.7 Appendix: Error Analysis; 4 Mean Reversion and Trinomial Trees; 4.1 Some Fixed Income Terms; 4.1.1 Interest Rates and Compounding; 4.1.2 Libor Rates and Vanilla Interest Rate Swaps; 4.2 Black76 for Caps and Swaptions; 4.3 One-Factor Short Rate Models; 4.3.1 Prominent Short Rate Models; 4.4 The Hull-White Model in More Detail; 4.5 Trinomial Trees; 5 Upwinding Techniques for Short Rate Models. | |
| 505 | 8 | |a 5.1 Derivation of a PDE for Short Rate Models5.2 Upwind Schemes; 5.2.1 Model Equation; 5.3 A Puttable Fixed Rate Bond under the Hull-White One Factor Model; 5.3.1 Bond Details; 5.3.2 Model Details; 5.3.3 Numerical Method; 5.3.4 An Algorithm in Pseudocode; 5.3.5 Results; 6 Boundary, Terminal and Interface Conditions and their Influence; 6.1 Terminal Conditions for Equity Options; 6.2 Terminal Conditions for Fixed Income Instruments; 6.3 Callability and Bermudan Options; 6.4 Dividends; 6.5 Snowballs and TARNs; 6.6 Boundary Conditions. | |
| 505 | 8 | |a 6.6.1 Double Barrier Options and Dirichlet Boundary Conditions6.6.2 Artificial Boundary Conditions and the Neumann Case; 7 Finite Element Methods; 7.1 Introduction; 7.1.1 Weighted Residual Methods; 7.1.2 Basic Steps; 7.2 Grid Generation; 7.3 Elements; 7.3.1 1D Elements; 7.3.2 2D Elements; 7.4 The Assembling Process; 7.4.1 Element Matrices; 7.4.2 Time Discretization; 7.4.3 Global Matrices; 7.4.4 Boundary Conditions; 7.4.5 Application of the Finite Element Method to Convection-Diffusion-Reaction Problems; 7.5 A Zero Coupon Bond Under the Two Factor Hull-White Model. | |
| 505 | 8 | |a 7.6 Appendix: Higher Order Elements7.6.1 3D Elements; 7.6.2 Local and Natural Coordinates; 8 Solving Systems of Linear Equations; 8.1 Direct Methods; 8.1.1 Gaussian Elimination; 8.1.2 Thomas Algorithm; 8.1.3 LU Decomposition; 8.1.4 Cholesky Decomposition; 8.2 Iterative Solvers; 8.2.1 Matrix Decomposition; 8.2.2 Krylov Methods; 8.2.3 Multigrid Solvers; 8.2.4 Preconditioning; 9 Monte Carlo Simulation; 9.1 The Principles of Monte Carlo Integration; 9.2 Pricing Derivatives with Monte Carlo Methods; 9.2.1 Discretizing the Stochastic Differential Equation; 9.2.2 Pricing Formalism. | |
| 500 | |a 9.2.3 Valuation of a Steepener under a Two Factor Hull-White Model. | ||
| 520 | |a A comprehensive introduction to various numerical methods used in computational finance today Quantitative skills are a prerequisite for anyone working in finance or beginning a career in the field, as well as risk managers. A thorough grounding in numerical methods is necessary, as is the ability to assess their quality, advantages, and limitations. This book offers a thorough introduction to each method, revealing the numerical traps that practitioners frequently fall into. Each method is referenced with practical, real-world examples in the areas of valuation, risk analysis, and ca. | ||
| 588 | 0 | |a Print version record. | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 6 | |a Finances |x Modèles mathématiques. | |
| 650 | 7 | |a Finance |x Mathematical models |2 fast | |
| 700 | 1 | |a Aichinger, Michael. | |
| 776 | 0 | 8 | |i Print version: |a Binder, Andreas. |t A Workout in Computational Finance. |d Hoboken : Wiley, ©2013 |z 9781119971917 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1469457 |z Texto completo |
| 938 | |a ProQuest Ebook Central |b EBLB |n EBL1469457 | ||
| 994 | |a 92 |b IZTAP | ||