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. Ed(S): Cummins, Mark; Murphy, Finbarr; Miller, John H. - Topics in Numerical Methods for Finance - 9781461434320 - V9781461434320
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Topics in Numerical Methods for Finance

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Description for Topics in Numerical Methods for Finance hardcover. Offers a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. This title focuses on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. Editor(s): Cummins, Mark; Murphy, Finbarr; Miller, John H. Series: Springer Proceedings in Mathematics and Statistics. Num Pages: 204 pages, biography. BIC Classification: KFF; PBKS. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 14. Weight in Grams: 491.

Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for the construction of arbitrage-free surfaces. Free boundary problems are considered next, with particular focus on stochastic impulse control problems that arise when the cost of control includes a fixed cost, common in financial applications. The text proceeds with the development of a fear index based on equity option surfaces, allowing for the measurement of overall fear levels ... Read more

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Product Details

Format
Hardback
Publication date
2012
Publisher
Springer-Verlag New York Inc. United States
Number of pages
204
Condition
New
Series
Springer Proceedings in Mathematics and Statistics
Number of Pages
204
Place of Publication
New York, NY, United States
ISBN
9781461434320
SKU
V9781461434320
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

About . Ed(S): Cummins, Mark; Murphy, Finbarr; Miller, John H.
Mark Cummins is a Lecturer in Finance at the Dublin City University Business School. He holds a PhD in Quantitative Finance, with specialism in the application of integral transforms and the fast Fourier transform (FFT) for derivatives valuation and risk management. Mark has previous industry experience working as a Quantitative Analyst within the Global Risk function for BP Oil International ... Read more

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