MARC details
| 000 -LEADER |
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| fixed length control field |
03680nam a22005295i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-3-642-35401-4 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20180115171739.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
130217s2013 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642354014 |
| -- |
978-3-642-35401-4 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-3-642-35401-4 |
| Source of number or code |
doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
KF |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
MAT003000 |
| Source |
bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
BUS027000 |
| Source |
bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Hilber, Norbert. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
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| Title |
Computational Methods for Quantitative Finance |
| Medium |
[electronic resource] : |
| Remainder of title |
Finite Element Methods for Derivative Pricing / |
| Statement of responsibility, etc. |
by Norbert Hilber, Oleg Reichmann, Christoph Schwab, Christoph Winter. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XIII, 299 p. 56 illus., 47 illus. in color. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
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| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
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| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
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| Carrier type term |
online resource |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
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| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 490 1# - SERIES STATEMENT |
|---|
| Series statement |
Springer Finance, |
| International Standard Serial Number |
1616-0533 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1.Introduction -- Part I.Basic techniques and models: 2.Notions of mathematical finance -- 3.Elements of numerical methods for PDEs -- 4.Finite element methods for parabolic problems -- 5.European options in BS markets -- 6.American options -- 7.Exotic options -- 8.Interest rate models -- 9.Multi-asset options -- 10.Stochastic volatility models-. 11.Lévy models -- 12.Sensitivities and Greeks -- Part II.Advanced techniques and models: 13.Wavelet methods -- 14.Multidimensional diffusion models -- 15.Multidimensional Lévy models -- 16.Stochastic volatility models with jumps -- 17.Multidimensional Feller processes -- Apendices: A.Elliptic variational inequalities -- B.Parabolic variational inequalities -- References. - Index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. 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. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. The volume is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Numerical analysis. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Probabilities. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Numerical Analysis. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Reichmann, Oleg. |
| Relator term |
author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Schwab, Christoph. |
| Relator term |
author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Winter, Christoph. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
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| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9783642354007 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
|---|
| Uniform title |
Springer Finance, |
| International Standard Serial Number |
1616-0533 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/978-3-642-35401-4">http://dx.doi.org/10.1007/978-3-642-35401-4</a> |
| 912 ## - |
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ZDB-2-SMA |