The Resource Computational methods for option pricing, Yves Achdou, Olivier Pironneau, (electronic resource)

Computational methods for option pricing, Yves Achdou, Olivier Pironneau, (electronic resource)

Label
Computational methods for option pricing
Title
Computational methods for option pricing
Statement of responsibility
Yves Achdou, Olivier Pironneau
Creator
Contributor
Subject
Language
eng
Summary
The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries
Member of
Additional physical form
Also available in print version.
Cataloging source
CaBNvSL
http://library.link/vocab/creatorName
Achdou, Yves
Dewey number
332.64/53/01519
Illustrations
illustrations
Index
index present
LC call number
HG6024.A3
LC item number
A26 2005eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Pironneau, Olivier
  • Society for Industrial and Applied Mathematics
Series statement
Frontiers in applied mathematics
http://library.link/vocab/subjectName
Options (Finance)
Target audience
adult
Label
Computational methods for option pricing, Yves Achdou, Olivier Pironneau, (electronic resource)
Link
http://libraries.ou.edu/access.aspx?url=http://epubs.siam.org/ebooks/siam/frontiers_in_applied_mathematics/fr30
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 287-294) and index
Color
black and white
Contents
Option Pricing -- Black-Scholes Equation. Mathematical Analysis -- Finite Differences -- The Finite Element Method -- Adaptive Mesh Refinement -- American Options -- Sensitivities and Calibration -- Calibration of Local Volatility with European Options -- Calibration of Local Volatility with American Options
Dimensions
unknown
Extent
1 electronic text (xviii, 297 p. : ill.)
File format
multiple file formats
Form of item
online
Governing access note
Restricted to subscribers or individual electronic text purchasers
Isbn
9780898717495
Isbn Type
(electronic bk.)
Other control number
FR30
Other physical details
digital file.
Reformatting quality
access
Specific material designation
remote
System control number
  • 3845115-01okla_normanlaw
  • (SIRSI)3845115
  • (Sirsi) i9780898717495
  • (CaBNvSL)slc00225440
System details
  • Mode of access: World Wide Web
  • System requirements: Adobe Acrobat Reader
Label
Computational methods for option pricing, Yves Achdou, Olivier Pironneau, (electronic resource)
Link
http://libraries.ou.edu/access.aspx?url=http://epubs.siam.org/ebooks/siam/frontiers_in_applied_mathematics/fr30
Publication
Bibliography note
Includes bibliographical references (p. 287-294) and index
Color
black and white
Contents
Option Pricing -- Black-Scholes Equation. Mathematical Analysis -- Finite Differences -- The Finite Element Method -- Adaptive Mesh Refinement -- American Options -- Sensitivities and Calibration -- Calibration of Local Volatility with European Options -- Calibration of Local Volatility with American Options
Dimensions
unknown
Extent
1 electronic text (xviii, 297 p. : ill.)
File format
multiple file formats
Form of item
online
Governing access note
Restricted to subscribers or individual electronic text purchasers
Isbn
9780898717495
Isbn Type
(electronic bk.)
Other control number
FR30
Other physical details
digital file.
Reformatting quality
access
Specific material designation
remote
System control number
  • 3845115-01okla_normanlaw
  • (SIRSI)3845115
  • (Sirsi) i9780898717495
  • (CaBNvSL)slc00225440
System details
  • Mode of access: World Wide Web
  • System requirements: Adobe Acrobat Reader

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