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Computational Methods for Option Pricing

Publisher: 
SIAM
Number of Pages: 
297
Price: 
80.00
ISBN: 
0-89871-573-3
Date Received: 
Saturday, September 10, 2005
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Yves Achdou and Olivier Pironneau
Series: 
Frontiers in Applied Mathematics
Publication Date: 
2005
Format: 
Paperback
Category: 
Monograph

 List of Algorithms; Preface; Chapter 1: Option Pricing; Chapter 2: Black–Scholes Equation. Mathematical Analysis; Chapter 3: Finite Differences; Chapter 4: The Finite Element Method; Chapter 5: Adaptive Mesh Refinement; Chapter 6: American Options; Chapter 7: Sensitivities and Calibration; Chapter 8: Calibration of Local Volatility with European Options; Chapter 9: Calibration of Local Volatility with American Options; Bibliography; Index.

Publish Book: 
Modify Date: 
Wednesday, May 24, 2006

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