skip to content
Numerical partial differential equations in finance explained : an introduction to computational finance Preview this item
ClosePreview this item
Checking...

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

Author: Karel in 't Hout
Publisher: London : Palgrace Macmillan, [2017] ©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...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Genre/Form: Electronic books
Additional Physical Format: (OCoLC)964383714
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Karel in 't Hout
ISBN: 9781137435699 1137435690
OCLC Number: 1005695561
Description: 1 online resource.
Contents: 1 Financial Option Valuation; 1.1 Financial Options; 1.2 The Black-Scholes PDE; 2 Partial Differential Equations; 2.1 Convection-Diffusion-Reaction Equations; 2.2 The Model Equation; 2.3 Boundary Conditions; 2.4 Notes and References; 3 Spatial Discretization I; 3.1 Method of Lines; 3.2 Finite Difference Formulas; 3.3 Stability; 3.4 Notes and References; 4 Spatial Discretization II; 4.1 Boundary Conditions; 4.2 Nonuniform Grids; 4.3 Nonsmooth Initial Data; 4.4 Mixed Central/Upwind Discretization; 4.5 Notes and References; 5 Numerical Study: Space; 5.1 Cell Averaging; 5.2 Nonuniform Grids 5.3 Boundary Conditions6 The Greeks; 6.1 The Greeks; 6.2 Numerical Study; 6.3 Notes and References; 7 Temporal Discretization; 7.1 The -Methods; 7.2 Stability and Convergence; 7.3 Maximum Norm and Positivity; 7.4 Notes and References; 8 Numerical Study: Time; 8.1 Explicit Method; 8.2 Implicit Methods; 8.3 Notes and References; 9 Cash-or-Nothing Options; 10 Barrier Options; 11 American-Style Options; 11.1 American-Style Options; 11.2 LCP Solution Methods; 11.3 Numerical Study; 11.4 Notes and References; 12 Merton Model; 12.1 Merton Model; 12.2 Spatial Discretization; 12.3 IMEX Schemes 12.4 Numerical Study12.5 Notes and References; 13 Two-Asset Options; 13.1 Two-Asset Options; 13.2 Spatial Discretization; 13.3 ADI Schemes; 13.4 Numerical Study; 13.5 Notes and References; Appendix A: Wiener Process; Appendix B: Feynman-Kac Theorem; Appendix C: Down-and-Out Put Option Value; Appendix D: Max-of-Two-Assets Call Option Value; Bibliography; Index
Series Title: Financial engineering explained.
Responsibility: 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...

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/1005695561> # Numerical partial differential equations in finance explained : an introduction to computational finance
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
    library:oclcnum "1005695561" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
    schema:about <http://dewey.info/class/650.0151/e23/> ;
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_reference> ; # BUSINESS & ECONOMICS / Reference
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_skills> ; # BUSINESS & ECONOMICS / Skills
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_mathematics> ; # Business mathematics
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/finance> ; # Finance
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_management> ; # BUSINESS & ECONOMICS / Management
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/financial_engineering> ; # Financial engineering
    schema:about <http://experiment.worldcat.org/entity/work/data/4491749310#Topic/differential_equations_partial> ; # Differential equations, Partial
    schema:author <http://experiment.worldcat.org/entity/work/data/4491749310#Person/hout_karel_in_t> ; # Karel in 't Hout
    schema:bookFormat schema:EBook ;
    schema:datePublished "2017" ;
    schema:description "1 Financial Option Valuation; 1.1 Financial Options; 1.2 The Black-Scholes PDE; 2 Partial Differential Equations; 2.1 Convection-Diffusion-Reaction Equations; 2.2 The Model Equation; 2.3 Boundary Conditions; 2.4 Notes and References; 3 Spatial Discretization I; 3.1 Method of Lines; 3.2 Finite Difference Formulas; 3.3 Stability; 3.4 Notes and References; 4 Spatial Discretization II; 4.1 Boundary Conditions; 4.2 Nonuniform Grids; 4.3 Nonsmooth Initial Data; 4.4 Mixed Central/Upwind Discretization; 4.5 Notes and References; 5 Numerical Study: Space; 5.1 Cell Averaging; 5.2 Nonuniform Grids"@en ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/4491749310> ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/4491749310#Series/financial_engineering_explained> ; # Financial engineering explained.
    schema:isSimilarTo <http://www.worldcat.org/oclc/964383714> ;
    schema:name "Numerical partial differential equations in finance explained : an introduction to computational finance"@en ;
    schema:productID "1005695561" ;
    schema:url <https://nls.ldls.org.uk/welcome.html?ark:/81055/vdc_100060142820.0x000001> ;
    schema:url <https://grinnell.idm.oclc.org/login?url=http://link.springer.com/10.1057/978-1-137-43569-9> ;
    schema:url <https://link.springer.com/openurl?genre=book&isbn=978-1-137-43568-2> ;
    schema:url <http://link.springer.com/10.1057/978-1-137-43569-9> ;
    schema:url <http://library.smu.ca:2048/login?url=http://link.springer.com/10.1057/978-1-137-43569-9> ;
    schema:url <http://ebookcentral.proquest.com/lib/ucm/detail.action?docID=5017864> ;
    schema:url <http://uproxy.library.dc-uoit.ca/login?url=http://link.springer.com/10.1057/978-1-137-43569-9> ;
    schema:url <https://ebookcentral.proquest.com/lib/exeter/detail.action?docID=5017864> ;
    schema:url <http://dx.doi.org/10.1057/978-1-137-43569-9> ;
    schema:url <http://rave.ohiolink.edu/ebooks/ebc/9781137435699> ;
    schema:url <https://0-link-springer-com.pugwash.lib.warwick.ac.uk/book/10.1057/978-1-137-43569-9> ;
    schema:url <https://0-link-springer-com.pugwash.lib.warwick.ac.uk/10.1057/978-1-137-43569-9> ;
    schema:url <http://public.eblib.com/choice/PublicFullRecord.aspx?p=5017864> ;
    schema:url <https://fsso.springer.com/federation/init?entityId=https%3A%2F%2Felibrary.exeter.ac.uk%2Fidp%2Fshibboleth&returnUrl=https://link.springer.com/book/10.1057/978-1-137-43569-9> ;
    schema:url <http://proxy.ohiolink.edu:9099/login?url=http://link.springer.com/10.1057/978-1-137-43569-9> ;
    schema:workExample <http://worldcat.org/isbn/9781137435699> ;
    schema:workExample <http://dx.doi.org/10.1057/978-1-137-43569-9> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/1005695561> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/4491749310#Person/hout_karel_in_t> # Karel in 't Hout
    a schema:Person ;
    schema:familyName "Hout" ;
    schema:givenName "Karel in 't" ;
    schema:name "Karel in 't Hout" ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Series/financial_engineering_explained> # Financial engineering explained.
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/1005695561> ; # Numerical partial differential equations in finance explained : an introduction to computational finance
    schema:name "Financial engineering explained." ;
    schema:name "Financial Engineering Explained" ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_management> # BUSINESS & ECONOMICS / Management
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS / Management"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_reference> # BUSINESS & ECONOMICS / Reference
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS / Reference"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_&_economics_skills> # BUSINESS & ECONOMICS / Skills
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS / Skills"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/business_mathematics> # Business mathematics
    a schema:Intangible ;
    schema:name "Business mathematics"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/differential_equations_partial> # Differential equations, Partial
    a schema:Intangible ;
    schema:name "Differential equations, Partial"@en ;
    .

<http://experiment.worldcat.org/entity/work/data/4491749310#Topic/financial_engineering> # Financial engineering
    a schema:Intangible ;
    schema:name "Financial engineering"@en ;
    .

<http://link.springer.com/10.1057/978-1-137-43569-9>
    rdfs:comment "Connect to resource" ;
    .

<http://rave.ohiolink.edu/ebooks/ebc/9781137435699>
    rdfs:comment "Connect to resource" ;
    .

<http://uproxy.library.dc-uoit.ca/login?url=http://link.springer.com/10.1057/978-1-137-43569-9>
    rdfs:comment "eBook available for UOIT via SpringerLink. Click link to access" ;
    .

<http://worldcat.org/isbn/9781137435699>
    a schema:ProductModel ;
    schema:isbn "1137435690" ;
    schema:isbn "9781137435699" ;
    .

<http://www.worldcat.org/oclc/964383714>
    a schema:CreativeWork ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/1005695561> ; # Numerical partial differential equations in finance explained : an introduction to computational finance
    .

<http://www.worldcat.org/title/-/oclc/1005695561>
    a genont:InformationResource, genont:ContentTypeGenericResource ;
    schema:about <http://www.worldcat.org/oclc/1005695561> ; # Numerical partial differential equations in finance explained : an introduction to computational finance
    schema:dateModified "2018-10-11" ;
    void:inDataset <http://purl.oclc.org/dataset/WorldCat> ;
    .

<https://fsso.springer.com/federation/init?entityId=https%3A%2F%2Felibrary.exeter.ac.uk%2Fidp%2Fshibboleth&returnUrl=https://link.springer.com/book/10.1057/978-1-137-43569-9>
    rdfs:comment "Available online via Springer E-books. Please select find Institution via Shibboleth and log in using your Exeter IT login, if prompted." ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.