Financial Engineering with Finite Elements PDF Download
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Author: Juergen Topper
Publisher: John Wiley & Sons
ISBN: 0470012919
Category : Business & Economics
Languages : en
Pages : 378
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Book Description
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Author: Juergen Topper
Publisher: John Wiley & Sons
ISBN: 0470012919
Category : Business & Economics
Languages : en
Pages : 378
Get Book Here
Book Description
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Author: Jürgen Topper
Publisher: John Wiley & Sons
ISBN:
Category : Business & Economics
Languages : en
Pages : 398
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Book Description
The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets
Author: Rüdiger U. Seydel
Publisher: Springer Science & Business Media
ISBN: 3662225514
Category : Mathematics
Languages : en
Pages : 256
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Book Description
Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.
Author: T. Chandrupatla
Publisher: Universities Press
ISBN: 9788173714276
Category : Computer-aided engineering
Languages : en
Pages : 276
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Book Description
Author: Susanne Brenner
Publisher: Springer Science & Business Media
ISBN: 1475736584
Category : Mathematics
Languages : en
Pages : 369
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Book Description
A rigorous and thorough mathematical introduction to the subject; A clear and concise treatment of modern fast solution techniques such as multigrid and domain decomposition algorithms; Second edition contains two new chapters, as well as many new exercises; Previous edition sold over 3000 copies worldwide
Author: Klaus-Jürgen Bathe
Publisher:
ISBN:
Category : Computers
Languages : en
Pages : 1066
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Book Description
BASIC APPROACH: Comprehensive -- this text explores the "full range" of finite element methods used in engineering practice for actual applications in computer-aided design. It provides not only an introduction to finite element methods and the commonality in the various techniques, but explores state-of-the-art methods as well -- with a focus on what are deemed to become "classical techniques" -- procedures that will be "standard and authoritative" for finite element analysis for years to come. FEATURES: presents in sufficient depth and breadth elementary concepts AND advanced techniques in statics, dynamics, solids, fluids, linear and nonlinear analysis. emphasizes both the physical and mathematical characteristics of procedures. presents some important mathematical conditions on finite element procedures. contains an abundance of worked-out examples and various complete program listings. includes many exercises/projects that often require the use of a computer program.
Author: P. SESHU
Publisher: PHI Learning Pvt. Ltd.
ISBN: 8120323157
Category : Mathematics
Languages : en
Pages : 340
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Book Description
Designed for a one-semester course in Finite Element Method, this compact and well-organized text presents FEM as a tool to find approximate solutions to differential equations. This provides the student a better perspective on the technique and its wide range of applications. This approach reflects the current trend as the present-day applications range from structures to biomechanics to electromagnetics, unlike in conventional texts that view FEM primarily as an extension of matrix methods of structural analysis. After an introduction and a review of mathematical preliminaries, the book gives a detailed discussion on FEM as a technique for solving differential equations and variational formulation of FEM. This is followed by a lucid presentation of one-dimensional and two-dimensional finite elements and finite element formulation for dynamics. The book concludes with some case studies that focus on industrial problems and Appendices that include mini-project topics based on near-real-life problems. Postgraduate/Senior undergraduate students of civil, mechanical and aeronautical engineering will find this text extremely useful; it will also appeal to the practising engineers and the teaching community.
Author: P.G. Ciarlet
Publisher: Elsevier
ISBN: 0080875254
Category : Mathematics
Languages : en
Pages : 551
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Book Description
The objective of this book is to analyze within reasonable limits (it is not a treatise) the basic mathematical aspects of the finite element method. The book should also serve as an introduction to current research on this subject. On the one hand, it is also intended to be a working textbook for advanced courses in Numerical Analysis, as typically taught in graduate courses in American and French universities. For example, it is the author's experience that a one-semester course (on a three-hour per week basis) can be taught from Chapters 1, 2 and 3 (with the exception of Section 3.3), while another one-semester course can be taught from Chapters 4 and 6. On the other hand, it is hoped that this book will prove to be useful for researchers interested in advanced aspects of the numerical analysis of the finite element method. In this respect, Section 3.3, Chapters 5, 7 and 8, and the sections on "Additional Bibliography and Comments should provide many suggestions for conducting seminars.
Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 1118856481
Category : Business & Economics
Languages : en
Pages : 452
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Book Description
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.
Author: Daniel J. Duffy
Publisher: John Wiley & Sons
ISBN: 1118856465
Category : Business & Economics
Languages : en
Pages : 405
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Book Description
This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)
