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Numerical Partial Differential Equations in Finance Explained : an Introduction to Computational Finance

Author: Karel J in 't Hout
Publisher: London Palgrave Macmillan UK 2017.
Series: Financial Engineering Explained
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Online-Ressource
Additional Physical Format: Erscheint auch als:
Druck-Ausgabe
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Karel J in 't Hout
ISBN: 9781137435699 1137435690
OCLC Number: 1005411332
Description: 1 Online-Ressource.
Contents: 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.
Series Title: Financial Engineering Explained
Responsibility: by Karel in 't Hout.

Abstract:

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). The book provides a wealth of examples, and  Read more...

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