Author : Yves Achdou
Release : 2005-01-01
Genre : Technology & Engineering
Kind : eBook
Book Rating : 495/5 ( reviews)
Book Synopsis Computational Methods for Option Pricing by : Yves Achdou
Download or read book Computational Methods for Option Pricing written by Yves Achdou. This book was released on 2005-01-01. Available in PDF, EPUB and Kindle. Book excerpt: The authors review some important aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.