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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Financial Modeling: A Backward Stochastic Differential Equations Perspective

Financial Modeling: A Backward Stochastic Differential Equations Perspective

Crepey, Stephane

Hardcover

General ComputersGeneral Mathematics

ISBN10: 3642371124
ISBN13: 9783642371127
Publisher: Springer
Published: Jun 19 2013
Pages: 459
Weight: 1.70
Height: 1.30 Width: 6.40 Depth: 9.20
Language: English

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided.

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