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Computational methods in finance / Ali Hirsa.

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Author/Creator:
Hirsa, Ali.
Language:
English.
Publication date:
2013
Imprint:
Boca Raton, FL : CRC Press, c2013.
Format:
  • Book
  • xxix, 414 p. : ill. ; 27 cm.
Bibliography:
Includes bibliographical references (p. 395-408) and index.
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.
Series:
Chapman & Hall/CRC financial mathematics series.
Subjects:
ISBN:
9781439829578
1439829578

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