DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE

Calin Ovidiu

ISBN 10: 9813203072 / ISBN 13: 9789813203075

Published by World Scientific Publishing Company, 2016

About this Item

Seller Inventory # 26401351925

Bibliographic Details

• Title: DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE
• Publisher: World Scientific Publishing Company
• Publication Date: 2016
• Language: English
• ISBN 10: 9813203072
• ISBN 13: 9789813203075
• Binding: Hardcover
• Condition: Used

About this title

Synopsis

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.