Numerical partial differential equations in finance explained : an introduction to computational finance /

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Hout, Karel in 't (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : Palgrace Macmillan, [2017]
Colección:Financial engineering explained.
Temas:
Business mathematics.
Differential equations, Partial.
Financial engineering.
Mathématiques financières.
Équations aux dérivées partielles.
Ingénierie financière.
Finance.
BUSINESS & ECONOMICS > Management.
BUSINESS & ECONOMICS > Reference.
BUSINESS & ECONOMICS > Skills.
Financial engineering
Business mathematics
Differential equations, Partial
Acceso en línea:Texto completo
Descripción
Sumario:This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.
Descripción Física:1 online resource
Bibliografía:Includes bibliographical references (pages 121-125) and index.
ISBN:9781137435699
1137435690

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