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Details about  NEW Topics In Numerical Methods For Finance BOOK (Hardback)

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NEW Topics In Numerical Methods For Finance BOOK (Hardback)
NEW-Topics-In-Numerical-Methods-For-Finance-BOOK-Hardback
Item Ended
Item condition:
Brand new
Ended:
03 Jun, 2014 04:19:15 AEST
Price:
AU $168.79
Postage:
FREE Economy delivery from outside AU | See details
Item location:
New York, United States

Description

eBay item number:
181239703268
Seller assumes all responsibility for this listing.
Last updated on  17 May, 2014 11:31:29 AEST  View all revisions

Item specifics

Condition:
Brand new: A new, unread, unused book in perfect condition with no missing or damaged pages. See the seller's ... Read moreabout the condition
ISBN-13:

9781461434320

Publication Year:

2012

Format:

Hardback

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Topics In Numerical Methods For Finance


  • Format: Hardback
  • Condition: Brand New

Offers a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. This title focuses on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications...

Topics In Numerical Methods For Finance

Synopsis

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.

Product Details

SKU:
1894325
ISBN:
9781461434320
Format:
Hardback
Category:
General
Publication Date:
2012-07-16
Publisher:
Springer-Verlag New York Inc.
ISBN:
9781461434320
Number Of Pages:
284
Country Of Origin:
United States
Illustrations:
black & white illustrations
Series:
Springer Proceedings in Mathematics and Statistics
Dimensions:
234x156x14mm
Weight:
491

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