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

ISBN-13: 9781349953813 / Angielski / Miękka / 2018 / 128 str.

Karel In 't Hout

Spis treści

Chapter1. Financial option valuation.-

Chapter2. Partial differential equations.- 

Chapter3 Spatial discretization I.- 

Chapter4. Spatial discretization II.- 

Chapter5. Numerical study: space.- 

Chapter6. The Greeks.- 

Chapter7. Temporal discretization.- 

Chapter8. Numerical study: time.- 

Chapter9. Cash-or-nothing options.- 

Chapter10. Barrier options.- 

Chapter11. American-style options.- 

Chapter12. Merton model.- 

Chapter13. Two-asset options.

O autorze

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.