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Einführung in Die Numerische Berechnung Von Finanzderivaten: Computational Finance
Paperback
Series: Springer-Lehrbuch
Investing & FinanceGeneral Mathematics
ISBN13: 9783662502983
Publisher: Springer Spektrum
Published: Aug 31 2016
Pages: 248
Weight: 0.92
Height: 0.55 Width: 6.69 Depth: 9.61
Language: German
Das Lehrbuch erklärt numerische Methoden der Finanzmathematik exemplarisch anhand der Berechnung von Optionspreisen. Nach einer Einführung in die Modellierung wird die numerische Simulation der Stochastik dargestellt, mit Zufallszahlen und Monte-Carlo-Verfahren. Es folgt die Numerik zu Black-Scholes-Gleichungen, mit Differenzenverfahren und Finite-Element-Verfahren. Die vorgestellten Algorithmen lassen sich unmittelbar implementieren.
Übungsaufgaben, instruktive Abbildungen sowie themenbezogene Anhänge und ergänzendes Material auf der Webseite des Autors runden das Buch ab.
Die zweite Auflage ist stark überarbeitet und erheblich umfangreicher: Verwerfungsmethoden und Monte-Carlo-Methoden für Optionen amerikanischen Typs ergänzen die stochastischen Methoden und ein neues Kapitel befasst sich mit der Bewertung von Optionen auf zwei Assets, mit Strafterm-Methoden und höherdimensionalen Bäumen.
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