Computational methods for quantitative finance: finite element methods for derivative pricing
Auteur :
Hilber, Norbert / Reichmann, Oleg / Schwab, Christoph / Winter, Christoph
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783642435324
Date de publication :
7 mars 2015
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models.