Computational Methods for Option Pricing
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Computational Methods for Option Pricing by Olivier Pironneau
Book DescriptionThis book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.
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Book DetailsISBN: 9780898715736
(228mm x 152mm x 17mm)
Imprint: Society for Industrial & Applied Mathematics,U.S.
Publisher: Society for Industrial & Applied Mathematics,U.S.
Publish Date: 18-Jul-2005
Country of Publication: United States
Books By Author Olivier Pironneau
Applied Shape Optimization for Fluids, Hardback (September 2009)
This new edition of Applied Shape Optimization for Fluids deals with shape optimization problems for fluids, with the equations needed for their understanding (Euler and Navier Strokes, but also those for microfluids) and with the numerical simulation of these problems.
Numerical Simulation of Unsteady Flows and Transition to Turbulence, Paperback (May 2008)
This volume represents the findings of the first test cases considered by ERCOFTAC (European Research Consortium on Flow Turbulence and Combustion).
Introduction to Scientific Computing, Paperback (January 1998)» View all books by Olivier Pironneau
This book presents the basic scientific computing methods for the solution of partial differential equations (PDEs) as they occur in engineering problems. Programming codes in Fortran and C are included for each problem.
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