Numerical partial differential equations in finance explained : an introduction to computational finance /: an introduction to computational finance. ([2017])

• Record Type: Book
• Further Information: Note: Karel in 't Hout.
• Authors: Hout, Karel in 't
• Contents: 1 Financial Option Valuation; 1.1 Financial Options; 1.2 The Black-Scholes PDE; 2 Partial Differential Equations; 2.1 Convection-Diffusion-Reaction Equations; 2.2 The Model Equation; 2.3 Boundary Conditions; 2.4 Notes and References; 3 Spatial Discretization I; 3.1 Method of Lines; 3.2 Finite Difference Formulas; 3.3 Stability; 3.4 Notes and References; 4 Spatial Discretization II; 4.1 Boundary Conditions; 4.2 Nonuniform Grids; 4.3 Nonsmooth Initial Data; 4.4 Mixed Central/Upwind Discretization; 4.5 Notes and References; 5 Numerical Study: Space; 5.1 Cell Averaging; 5.2 Nonuniform Grids 5.3 Boundary Conditions6 The Greeks; 6.1 The Greeks; 6.2 Numerical Study; 6.3 Notes and References; 7 Temporal Discretization; 7.1 The -Methods; 7.2 Stability and Convergence; 7.3 Maximum Norm and Positivity; 7.4 Notes and References; 8 Numerical Study: Time; 8.1 Explicit Method; 8.2 Implicit Methods; 8.3 Notes and References; 9 Cash-or-Nothing Options; 10 Barrier Options; 11 American-Style Options; 11.1 American-Style Options; 11.2 LCP Solution Methods; 11.3 Numerical Study; 11.4 Notes and References; 12 Merton Model; 12.1 Merton Model; 12.2 Spatial Discretization; 12.3 IMEX Schemes 12.4 Numerical Study12.5 Notes and References; 13 Two-Asset Options; 13.1 Two-Asset Options; 13.2 Spatial Discretization; 13.3 ADI Schemes; 13.4 Numerical Study; 13.5 Notes and References; Appendix A: Wiener Process; Appendix B: Feynman-Kac Theorem; Appendix C: Down-and-Out Put Option Value; Appendix D: Max-of-Two-Assets Call Option Value; Bibliography; Index
• Publisher Details: London : Palgrace Macmillan
• Publication Date: 2017
• Extent: 1 online resource
• Subjects: 650.01/51; Finance; Business mathematics; Differential equations, Partial; Financial engineering; BUSINESS & ECONOMICS / Management; BUSINESS & ECONOMICS / Reference; BUSINESS & ECONOMICS / Skills; Financial engineering; Business mathematics; Differential equations, Partial; Finance; Electronic books; Electronic books
• Languages: English
• ISBNs: 9781137435699; 1137435690
• Related ISBNs: 1137435682; 9781137435682
• Notes: Note: Includes bibliographical references (pages 121-125) and index.; Note: Description based on print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.