Computational methods in finance
By: Ali Hirsa
Series: Chapman & Hall/CRC Financial mathematics series
Publisher: CRC Press
Published: 2013
Place of publication: Boca Raton, FL
Language: eng
ISBN-13: 9781439829578
Subjects: Prices; Mathematics; Derivative securities
Notes: Includes bibliographical references and index.
Table of contents: title: Computational methods for derivatives pricing; title: Stochastic processes and risk neutral pricing; title: Derivatives pricing via transform techniques; title: Introduction to finite differences; title: Derivative pricing via numerical solutions of PDEs; title: Derivative pricing via numerical solutions of pides; title: Simulation methods for derivatives pricing; title: Calibration and estimation in derivatives pricing; title: Model calibration; title: Filtering and parameter estimation; title: Bibliography; title: Index.