Understanding Numerical Analysis for Option Pricing

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Understanding Numerical Analysis for Option Pricing

Format:  Hardcover,

300 pages

Edition: 01

Publisher: Cambridge Univ Pr

Publish Date: Oct 2015

ISBN-13: 9780521621144

ISBN-10: 0521621143

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The following content was provided by the publisher.
This book provides the mathematical concepts needed to understand the most important algorithms currently used in finance, especially Monte Carlo, finite-difference, and parameter estimation. The authors assume a basic understanding of probability theory and stochastic processes, and option pricing, otherwise the presentation is reasonably self-contained with mathematical concepts introduced in the context of financial topics, and illustrated by examples drawn from finance. The book should be suitable either for graduate courses in mathematical and computational finance, or for self-study. Examples are provided throughout, and algorithms are also provided for some of the numerical schemes.


Publisher: Cambridge Univ Pr
Publish Date: Oct 2015
ISBN-13: 9780521621144
ISBN-10: 0521621143
Format: Hardcover
Number of Pages: 300
Shipping Weight (in pounds): 1.0
Product in Inches (L x W x H): 2.0 x 10.0 x 8.0

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