| Record ID | marc_columbia/Columbia-extract-20221130-011.mrc:240589911:2706 |
| Source | marc_columbia |
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LEADER: 02706cam a22003498a 4500
001 5406363
005 20221110032101.0
008 050325s2005 pau b 001 0 eng
010 $a 2005046506
020 $a0898715733 (pbk.)
035 $a(OCoLC)ocm58791132
035 $a(NNC)5406363
035 $a5406363
040 $aDLC$cDLC$dYUS$dOrLoB-B
042 $apcc
050 00 $aHG6024.A3$bA26 2005
082 00 $a332.64/53/01519$222
100 1 $aAchdou, Yves.$0http://id.loc.gov/authorities/names/n2005022379
245 10 $aComputational methods for option pricing /$cYves Achdou, Olivier Pironneau.
260 $aPhiladelphia :$bSociety for Industrial and Applied Mathematics,$c2005.
300 $axviii, 297 pages :$billustrations (some color) ;$c25 cm.
336 $atext$btxt$2rdacontent
337 $aunmediated$bn$2rdamedia
490 1 $aFrontiers in applied mathematics
504 $aIncludes bibliographical references and index.
505 00 $g1.$tOption pricing -- $g2.$tThe Black-Scholes equation : mathematical analysis -- $g3.$tFinite differences -- $g4.$tThe finite element method -- $g5.$tAdaptive mesh refinement -- $g6.$tAmerican options -- $g7.$tSensitivities and calibration -- $g8.$tCalibration of local volatility with European options -- $g9.$tCalibration of local volatility with American options.
520 1 $a"Here is a book for anyone who would like to become better acquainted with the modern tools of numerical analysis for some important computational problems arising in finance. The authors review several significant aspects of finance modeling involving partial differential equations and focus on numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters." "Option pricing has become a technical topic that requires sophisticated numerical methods for robust and fast numerical solutions. This book explores the best numerical algorithms and discusses them in depth, from their mathematical analysis to their implementation in C++ with efficient numerical libraries. Much of this information is not available elsewhere." "This book was written for postgraduate students, professional scientists in the field of finance, researchers, numerical code developers, and those well versed in numerical analysis desiring to learn about numerical and mathematical finance."--BOOK JACKET.
650 0 $aOptions (Finance)$xPrices$xMathematical models.$0http://id.loc.gov/authorities/subjects/sh2010104480
700 1 $aPironneau, Olivier.$0http://id.loc.gov/authorities/names/n83009398
830 0 $aFrontiers in applied mathematics.
852 00 $bsci$hHG6024.A3$iA26 2005
852 00 $boff,bus$hHG6024.A3$iA26 2005