| 000 -LEADER |
|---|
| fixed length control field |
04148nam a22004575i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20140310151447.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
|---|
| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
120713s2012 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9781461434337 |
|
978-1-4614-3433-7 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB135-147 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Boston, MA : |
| -- |
Springer US : |
| -- |
Imprint: Springer, |
| -- |
2012. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Cummins, Mark. |
| Relator term |
editor. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Topics in Numerical Methods for Finance |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
edited by Mark Cummins, Finbarr Murphy, John J.H. Miller. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XI, 204 p. 47 illus., 40 illus. in color. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Proceedings in Mathematics & Statistics, |
| International Standard Serial Number |
2194-1009 ; |
| Volume number/sequential designation |
19 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance -- Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces -- Solving Impulse Control Problems with Control Delays -- FIX: The Fear Index ? Measuring Market Fear -- American Option Pricing using Simulation and Regression: Numerical Convergence Results -- The COS Method for Pricing Options under Uncertain Volatility -- Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps -- Pricing Credit Derivatives in a Wiener-Hopf Framework -- The Evaluation of Gas Swing Contracts with Regime Switching -- A Linear and Nonlinear Review of the Arbitrage-Free Parity Theory for the CDS and Bond Markets. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels in the market. The problem of American option pricing is considered next, applying simulation methods combined with regression techniques and discussing convergence properties. Changing focus to integral transform methods, a variety of option pricing problems are considered. The COS method is practically applied for the pricing of options under uncertain volatility, a method developed by the authors that relies on the dynamic programming principle and Fourier cosine series expansions. Efficient approximation methods are next developed for the application of the fast Fourier transform for option pricing under multifactor affine models with stochastic volatility and jumps. Following this, fast and accurate pricing techniques are showcased for the pricing of credit derivative contracts with discrete monitoring based on the Wiener-Hopf factorisation. With an energy theme, a recombining pentanomial lattice is developed for the pricing of gas swing contracts under regime switching dynamics. The book concludes with a linear and nonlinear review of the arbitrage-free parity theory for the CDS and bond markets. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Finance. |
|
|---|
| Topical term or geographic name as entry element |
Computer science |
| General subdivision |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
|
|---|
| Topical term or geographic name as entry element |
Finance/Investment/Banking. |
|
|---|
| Topical term or geographic name as entry element |
Computational Mathematics and Numerical Analysis. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Murphy, Finbarr. |
| Relator term |
editor. |
|
|---|
| Personal name |
Miller, John J.H. |
| Relator term |
editor. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9781461434320 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-1-4614-3433-7 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
