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OverviewThis book offers an up-to-date introductory treatment of computational techniques applied to problems in finance, placing issues such as numerical stability, convergence and error analysis in both deterministic and stochastic settings at its core. The first part provides a welcoming but nonetheless rigorous introduction to the fundamental theory of option pricing, including European, American, and exotic options along with their hedge parameters, and combines a clear treatment of the mathematical framework with practical worked examples in Python. The second part explores the main computational methods for valuing options within the Black-Scholes framework: lattice, Monte Carlo, and finite difference methods. The third and final part covers advanced topics for the simulation of financial processes beyond the standard Black-Scholes setting. Techniques for the analysis and simulation of multidimensional financial data, including copulas, are covered and will be of interest to those studying machine learning for finance. There is also an in-depth treatment of exact and approximate sampling methods for stochastic differential equation models of interest rates and volatilities. Written for advanced undergraduate and masters-level courses, the book assumes some exposure to core mathematical topics such as linear algebra, ordinary differential equations, multivariate calculus, probability, and statistics at an undergraduate level. While familiarity with Python is not required, readers should be comfortable with basic programming constructs such as variables, loops, and conditional statements. Full Product DetailsAuthor: Cónall KellyPublisher: Springer International Publishing AG Imprint: Springer International Publishing AG Edition: 2024 ed. ISBN: 9783031605741ISBN 10: 3031605748 Pages: 330 Publication Date: 20 July 2024 Audience: Professional and scholarly , Professional & Vocational Format: Hardback Publisher's Status: Active Availability: In Print  This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of Contents- Part I Modelling Assets and Markets.- Introduction.- The Pricing of Financial Derivatives.- Part II Computational Pricing Methods in the Black-Scholes Framework.- Binomial Tree Methods.- Simulation I: Monte Carlo Methods.- Finite Difference Methods.- Part III Simulation Methods Beyond the Black-Scholes Framework.- Simulation II: Modelling Multivariate Financial Data.- Stochastic Models for Interest Rates.- Simulation III: Numerical Approximation of SDE Models.ReviewsAuthor InformationCónall Kelly is a Senior Lecturer in Financial Mathematics and Director of the MSc Financial and Computational Mathematics at the School of Mathematical Sciences, University College Cork, Ireland. He teaches core modules on derivatives pricing and computational finance to undergraduate and postgraduate students. He is an active researcher in the field of computational stochastics and, since 2018, he has contributed to the graduate programme at the African Institute for Mathematical Sciences in Senegal. Tab Content 6Author Website:Countries AvailableAll regions |
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