Computational Methods for Option Pricing
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Author(s): Y. Achdou and O. Pironneau
Publisher: SIAM
ISBN: 0898715733
Format: softback
297pp
Price: $80.00
Review Date: 03 October 2005
Review: This book discusses modern numerical techniques that the authors believe to be useful for simulations in finance. The focus is on the finite difference and finite element methods for the partial differential equation, stressing numerical algorithms for the fast and accurate pricing of financial derivatives and for the calibration of parameters. The best numerical algorithms are discussed in depth, from their mathematical analysis to their implementation in C++ with efficient numerical libraries. Much of this information is not available elsewhere.