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03551nam a22004935i 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20140310151459.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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130217s2013 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
9783642354014 |
|
978-3-642-35401-4 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
QA273.A1-274.9 |
|
|---|
| Classification number |
QA274-274.9 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
519.2 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| -- |
2013. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hilber, Norbert. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Computational Methods for Quantitative Finance |
| Medium |
[electronic resource] : |
| Remainder of title |
Finite Element Methods for Derivative Pricing / |
| Statement of responsibility, etc |
by Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIII, 299 p. 57 illus., 48 illus. in color. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Finance, |
| International Standard Serial Number |
1616-0533 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1.Introduction -- Part I.Basic techniques and models: 2.Notions of mathematical finance -- 3.Elements of numerical methods for PDEs -- 4.Finite element methods for parabolic problems -- 5.European options in BS markets -- 6.American options -- 7.Exotic options -- 8.Interest rate models -- 9.Multi-asset options -- 10.Stochastic volatility models-. 11.Lévy models -- 12.Sensitivities and Greeks -- Part II.Advanced techniques and models: 13.Wavelet methods -- 14.Multidimensional diffusion models -- 15.Multidimensional Lévy models -- 16.Stochastic volatility models with jumps -- 17.Multidimensional Feller processes -- Apendices: A.Elliptic variational inequalities -- B.Parabolic variational inequalities -- References. - Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 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 |
Numerical analysis. |
|
|---|
| Topical term or geographic name as entry element |
Distribution (Probability theory). |
|
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
|
|---|
| Topical term or geographic name as entry element |
Numerical Analysis. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Reichmann, Oleg. |
| Relator term |
author. |
|
|---|
| Personal name |
Schwab, Christoph. |
| Relator term |
author. |
|
|---|
| Personal name |
Winter, Christoph. |
| Relator term |
author. |
| 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 |
9783642354007 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-35401-4 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
