Librarian View
LEADER
02946cam a2200397 a 4500
001
8775385
005
20230117173812.0
008
090209s2009 gw a b 001 0 eng d
010
|a
2008943076
035
|a
(OCoLC)ocn315135040
035
|a
(OCoLC)ocn689434284
035
|a
8775385
040
|a
YDXCP
|b
eng
|c
YDXCP
|d
OHX
|d
BWX
|d
OCLCQ
|d
KUK
|d
FDA
|d
BET
|d
OCLCF
|d
OCLCQ
|d
YCP
|d
OCLCQ
|d
OCLCO
019
|a
697534100
020
|a
9783540929284
020
|a
3540929282
050
4
|a
HG106
|b
.S49 2009
079
|a
315135040
082
0
0
|a
332.01/5195
|2
22
100
1
|a
Seydel, R.
|q
(Rüdiger),
|d
1947-
245
1
0
|a
Tools for computational finance /
|c
Rüdiger U. Seydel.
250
|a
4th ed.
260
|a
Berlin :
|b
Springer,
|c
©2009.
300
|a
xxi, 332 pages :
|b
illustrations ;
|c
24 cm
336
|a
text
|b
txt
|2
rdacontent
337
|a
unmediated
|b
n
|2
rdamedia
338
|a
volume
|b
nc
|2
rdacarrier
490
1
|a
Universitext
504
|a
Includes bibliographical references (pages 311-323) and index.
505
0
|a
Modeling tools for financial options. Options ; model of the financial market ; Numerical methods ; The binomial method ; Risk-Neutral valuation ; Stochastic process ; Diffusion models ; Itô Lemma and applications ; Jump models ; Calibration ; Notes and comments ; Exercises -- Generating random numbers with specified distributions. Uniform deviates ; Extending to random variables from other distributions ; Normally distributed random variables ; Monte Carlo integration ; Sequence of numbers with low discrepancy ; Notes and comments ; Exercises -- Monte Carlo simulation with stochastic differential equations. Approximation error ; Stochastic Taylor expansion ; Examples of numerical methods ; Intermediate values ; Monte Carlo simulation ; Monte Carlo methods for American options ; Notes and comments ; Exercises -- Standard methods for standard options. preparations ; Foundations of finite-difference methods ; Crank-Nicolson method ; Boundary conditions ; American options as free boundary problems ; Computation of American options ; On the accuracy ; Analytic methods ; Notes and comments ; Exercises -- Finite-element methods. Weighted residuals ; Galerkin approach with hat functions ; Application to standard options ; Application to an exotic call option ; Error estimates ; Notes and comments ; Exercises -- Pricing of exotic options. Exotic options ; Options depending on several assets ; Asian options ; Numerical aspects ; Upwind schemes and other methods ; High-resolution methods ; Notes and comments ; Exercises -- Appendices. Financial derivatives ; Stochastic tools ; Numerical methods ; Complementary material.
650
0
|a
Finance
|x
Mathematical models.
650
7
|a
Finance
|x
Mathematical models.
|2
fast
|0
(OCoLC)fst00924398
830
0
|a
Universitext.
901
|a
HG106
902
|a
Math Library
|b
MARX LIBRARY >> HG106 .S49 2009 (LC)|DELIM|9192591
907
|a
2009-04-27T15:24:36.000Z