Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance
2017. Auflage 2017
ISBN: 978-1-137-43568-2
Verlag: Palgrave MacMillan UK

Buch, Englisch, 128 Seiten, Format (B × H): 159 mm x 241 mm, Gewicht: 399 g

Reihe: Financial Engineering Explained

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.

Zielgruppe

Research

Autoren/Hrsg.

In 'T Hout, Karel

Fachgebiete

• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Chapter1. Financial option valuation.-Chapter2. Partial differential equations.- Chapter3 Spatial discretization I.- Chapter4. Spatial discretization II.- Chapter5. Numerical study: space.- Chapter6. The Greeks.- Chapter7. Temporal discretization.- Chapter8. Numerical study: time.- Chapter9. Cash-or-nothing options.- Chapter10. Barrier options.- Chapter11. American-style options.- Chapter12. Merton model.- Chapter13. Two-asset options.

Über Autor(innen)

Karel in ’t Hout is Associate Professor in the Department of Mathematics and Computer Science at University of Antwerp, specializing in the analysis and development of numerical methods for time-dependent partial differential equations with applications to finance.  He has previously held positions as Visiting Professor at Arizona State University, Visiting Professor at Boise State University and Researcher at Leiden University and University of Auckland.  Karel has also spent time in the industry, working as quantitative analyst at ABN Amro, Amsterdam.  He holds a PhD in Mathematics from Leiden University.