國立高雄大學圖資館 |

Language: English

Back

Numerical partial differential equat...

In't Hout, Karel.

Numerical partial differential equations in finance explainedan introduction to computational finance /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Numerical partial differential equations in finance explainedby Karel in't Hout.
Reminder of title:	an introduction to computational finance /
Author:	In't Hout, Karel.
Published:	London :Palgrave Macmillan UK :2017.
Description:	xiv, 128 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
Subject:	Business mathematics.
Online resource:	http://dx.doi.org/10.1057/978-1-137-43569-9
ISBN:	9781137435699$q(electronic bk.)

Numerical partial differential equations in finance explainedan introduction to computational finance /
In't Hout, Karel.

Numerical partial differential equations in finance explainedan introduction to computational finance /[electronic resource] :by Karel in't Hout. - London :Palgrave Macmillan UK :2017. - xiv, 128 p. :ill., digital ;24 cm. - Financial engineering explained. - Financial engineering explained..

Chapter1. Financial option valuation -- Chapter2. Partial differential equations -- Chapter3 Spatial discretization I -- Chapter4. Spatial discretization II -- Chapter5. Numerical study: space -- Chapter6. The Greeks -- Chapter7. Temporal discretization -- Chapter8. Numerical study: time -- Chapter9. Cash-or-nothing options -- Chapter10. Barrier options -- Chapter11. American-style options -- Chapter12. Merton model -- Chapter13. Two-asset options.

This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs) It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.

ISBN: 9781137435699$q(electronic bk.)

Standard No.: 10.1057/978-1-137-43569-9doiSubjects--Topical Terms:

191036
Business mathematics.

LC Class. No.: HF5691

Dewey Class. No.: 650.0151

Numerical partial differential equations in finance explainedan introduction to computational finance /
LDR:02172nmm a2200301 a 4500 001 522183
003 DE-He213
005 20170904084427.0
006 m d
007 cr nn 008maaau
008 180521s2017 enk s 0 eng d
020 $a 9781137435699$q(electronic bk.)
020 $a 9781137435682$q(paper)
024 7 $a 10.1057/978-1-137-43569-9 $2 doi
035 $a 978-1-137-43569-9
040 $a GP $c GP
041 0 $a eng
050 4 $a HF5691
082 0 4 $a 650.0151 $2 23
090 $a HF5691 $b .I61 2017
100 1 $a In't Hout, Karel. $3 792643
245 1 0 $a Numerical partial differential equations in finance explained $h [electronic resource] : $b an introduction to computational finance / $c by Karel in't Hout.
260 $a London : $b Palgrave Macmillan UK : $b Imprint: Palgrave Macmillan, $c 2017.
300 $a xiv, 128 p. : $b ill., digital ; $c 24 cm.
490 1 $a Financial engineering explained
505 0 $a Chapter1. Financial option valuation -- Chapter2. Partial differential equations -- Chapter3 Spatial discretization I -- Chapter4. Spatial discretization II -- Chapter5. Numerical study: space -- Chapter6. The Greeks -- Chapter7. Temporal discretization -- Chapter8. Numerical study: time -- Chapter9. Cash-or-nothing options -- Chapter10. Barrier options -- Chapter11. American-style options -- Chapter12. Merton model -- Chapter13. Two-asset options.
520 $a This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs) It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.
650 0 $a Business mathematics. $3 191036
650 0 $a Differential equations, Partial. $3 189753
650 1 4 $a Finance. $3 183252
650 2 4 $a Financial Engineering. $3 744568
710 2 $a SpringerLink (Online service) $3 273601
773 0 $t Springer eBooks
830 0 $a Financial engineering explained. $3 688913
856 4 0 $u http://dx.doi.org/10.1057/978-1-137-43569-9
950 $a Economics and Finance (Springer-41170)