Geometrical Approximation and Perturbative methods for PDEs in Finance

Language: English

Published by LAP LAMBERT Academic Publishing Jul 2012, 2012

3659176656 / 9783659176654

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -The book investigates the benefits of Spectral Methods, which are found to be an appealing numerical technique when the solution in closed form doesn't exist, but unfortunately it cannot be used in every case. A remarkable case in which it is possible to use the Spectral Methods is for pricing the Double Barrier Options as we have seen in Chapter 3. The main achievement of this work is the introduction of two methods, that we have called Geometrical Approximation and Perturbative Method respectively, by which is possible to evaluate the fair option prices in the Heston and SABR market model. Both proposed methods can be generalised to other market models and for pricing other derivatives contracts, although, in order to show the above methodologies, we have chosen to pricing Options of only two kinds: Vanilla Options and knock-out Barrier Options. 148 pp. Englisch.

Seller Inventory # 9783659176654

Title
Geometrical Approximation and Perturbative methods for PDEs in Finance
Author
Mario Dell'Era
Publisher
LAP LAMBERT Academic Publishing Jul 2012
Publication year
2012
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3659176656
ISBN 13
9783659176654
Item weight
238 grams
Dimensions
220x150x9 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany