TY - BOOK ID - 8433981 TI - Computational methods for quantitative finance : finite element methods for derivative pricing AU - Hilber, Norbert. AU - Reichmann, Oleg. AU - Schwab, Ch. AU - Winter, Christoph. PY - 2013 SN - 3642435327 3642354009 3642354017 1299336922 PB - Berlin ; Heidelberg : Springer-Verlag, DB - UniCat KW - Business mathematics. KW - Derivative securities -- Prices -- Mathematical models. KW - Finance -- Mathematical models. KW - Mathematics KW - Physical Sciences & Mathematics KW - Mathematical Statistics KW - Finance KW - Mathematical models. KW - Data processing. KW - Mathematics. KW - Economics, Mathematical. KW - Numerical analysis. KW - Probabilities. KW - Quantitative Finance. KW - Numerical Analysis. KW - Probability Theory and Stochastic Processes. KW - Finance. KW - Distribution (Probability theory. KW - Distribution functions KW - Frequency distribution KW - Characteristic functions KW - Probabilities KW - Mathematical analysis KW - Funding KW - Funds KW - Economics KW - Currency question KW - Economics, Mathematical . KW - Probability KW - Statistical inference KW - Combinations KW - Chance KW - Least squares KW - Mathematical statistics KW - Risk KW - Mathematical economics KW - Econometrics KW - Methodology KW - Social sciences KW - Mathematics in Business, Economics and Finance. KW - Probability Theory. KW - Derivative securities KW - Prices UR - https://www.unicat.be/uniCat?func=search&query=sysid:8433981 AB - Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes.  The volume is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. ER -