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Computing Financial Derivatives: A Finite-Difference Approach - Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series (Hardback)
  • Computing Financial Derivatives: A Finite-Difference Approach - Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series (Hardback)
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Computing Financial Derivatives: A Finite-Difference Approach - Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series (Hardback)

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£69.99
Hardback 268 Pages / Published: 22/12/2018
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From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

Publisher: Taylor & Francis Ltd
ISBN: 9781420082647
Number of pages: 268
Dimensions: 235 x 156 mm

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