Computational Methods in Finance

• Main Author: Hirsa, Ali (Author)
• Format: Book
• Language: English
• Published: Boca Raton, FL CRC Press Taylor & Francis Group 2013
• Series: Chapman & Hall/CRC Financial mathematics series
• Subjects: Derivative securities > Mathematics > Prices
• Online Access: Click Here to View Status and Holdings.
• Physical Description: xxix, 414 pages illustrations 27 cm
• Bibliography: Includes bibliographical references (pages. 395-408) and index
• ISBN: 9781439829578

As today's financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical methods. The first part of the book describes pricing methods for numerous derivatives under a variety of models. The book reviews common processes for modeling assets in different markets. It then examines many computational approaches for pricing derivatives. These include transform techniques such as the fast Fourier transform, the fractional fast Fourier transform, the Fourier-cosine method, and the saddlepoint method; the finite difference method for solving PDEs in the diffusion framework and PIDEs in the pure jump framework; and Monte Carlo simulation.