Numerical Partial Differential Equations in Finance Explained: An Introduction to Computational Finance

in 't Hout, Karel (Author)

ISBN 10: 1137435682 / ISBN 13: 9781137435682

Published by Palgrave Macmillan, 2017

About this Item

1st edition. 128 pages. 9.50x6.50x0.75 inches. In Stock.

Seller Inventory # zk1137435682

Bibliographic Details

• Title: Numerical Partial Differential Equations in Finance Explained: An Introduction to Computational Finance
• Publisher: Palgrave Macmillan
• Publication Date: 2017
• Language: English
• ISBN 10: 1137435682
• ISBN 13: 9781137435682
• Binding: Hardcover
• Condition: Brand New
• Weight: 0.36 kilograms

About this title

Synopsis

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.

About the Author

Karel in ’t Hout is Associate Professor in the Department of Mathematics and Computer Science at University of Antwerp, specializing in the analysis and development of numerical methods for time-dependent partial differential equations with applications to finance.  He has previously held positions as Visiting Professor at Arizona State University, Visiting Professor at Boise State University and Researcher at Leiden University and University of Auckland.  Karel has also spent time in the industry, working as quantitative analyst at ABN Amro, Amsterdam.  He holds a PhD in Mathematics from Leiden University.