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Computational Methods for Quantitative Finance

Finite Element Methods for Derivative Pricing

Norbert Hilber; Oleg Reichmann; Christoph Schwab; Christoph Winter

978-3-642-35401-4

2013
Edition 1
- Offers an accessible introduction to modern deterministic numerical methods of option pricing
- Presents methods for all standard European plain vanilla option as well as for widely used exotic derivative contracts, such as Barrier, American and multiperiod contracts
- Includes a large section on methods for pricing derivatives on baskets, such as Lévy Copula models ?
- Includes supplementary material: sn.pub/extras
€160

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