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Computational methods in finance / Ali Hirsa.

By: Material type: TextTextSeries: Chapman & Hall/CRC Financial mathematics seriesPublication details: Boca Raton, FL : CRC Press, c2013.Description: xxix, 414 p. : ill. ; 27 cmISBN:
  • 9780367851866
Subject(s): DDC classification:
  • 332.6457015195 HIR-C
Contents:
Computational methods for derivatives pricing -- Stochastic processes and risk neutral pricing -- Derivatives pricing via transform techniques -- Introduction to finite differences -- Derivative pricing via numerical solutions of PDEs -- Derivative pricing via numerical solutions of pides -- Simulation methods for derivatives pricing -- Calibration and estimation in derivatives pricing -- Model calibration -- Filtering and parameter estimation -- Bibliography -- Index.
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Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
Books Books RGU Central Library Reference Reference 332.6457015195 HIR-C (Browse shelf(Opens below)) Not For Loan 78151
Total holds: 0

Includes bibliographical references (p. 395-408) and index.

Computational methods for derivatives pricing -- Stochastic processes and risk neutral pricing -- Derivatives pricing via transform techniques -- Introduction to finite differences -- Derivative pricing via numerical solutions of PDEs -- Derivative pricing via numerical solutions of pides -- Simulation methods for derivatives pricing -- Calibration and estimation in derivatives pricing -- Model calibration -- Filtering and parameter estimation -- Bibliography -- Index.

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