PDF Ebook Computational Methods for Option Pricing (Frontiers in Applied Mathematics), by Yves Achdou, Olivier Pironneau
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Computational Methods for Option Pricing (Frontiers in Applied Mathematics), by Yves Achdou, Olivier Pironneau
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This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.
- Sales Rank: #3333368 in Books
- Published on: 2005-07-01
- Original language: English
- Number of items: 1
- Dimensions: 8.98" h x .67" w x 5.98" l, 1.25 pounds
- Binding: Paperback
- 297 pages
About the Author
Yves Achdou is a Professor at the Universit� Denis Diderot, Paris. He was awarded the Prix Blaise Pascal de l'Acad�mie des Sciences in 1998.
Olivier Pironneau is a Professor at the Universit� Pierre et Marie Curie, Paris. He has been a member of the Acad�mie des Sciences since 2002 and is the author of more than 300 articles and eight books.
Most helpful customer reviews
4 of 5 people found the following review helpful.
An excellent computational book
By Alex The Centrist
The previous reviewer is completely wrong in giving this book one star. As a quant with a computational background, I have found this book to have excellent material.
1 of 4 people found the following review helpful.
Worst book I ever read
By Han Sang Il
This book is only the material for author's classes.
If you read the book just for your reseach, you will find many loophole in the contents. Many explanations are skipped so it's very hard to understand the author's intention in this book.
Thank you.
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