金融デリバティブの数値計算：差分法のアプローチ Computing Financial Derivatives : A Finite-difference Approach (Chapman & Hall/crc Numerical Analysis and Scientific Computing Series) -- Hardback

Rout-hoolash, Sweta/ Lai, Choi-hong

Taylor & Francis Ltd（2026/06発売）

• 製本 Hardcover:ハードカバー版／ページ数 268 p.／サイズ 50 illus.
• 言語 ENG
• 商品コード 9781420082647
• DDC分類 511

基本説明

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem.

Full Description

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.

Contents

Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.