libcats.org
Главная

Mathematical modeling and methods of option pricing

Обложка книги Mathematical modeling and methods of option pricing

Mathematical modeling and methods of option pricing

From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black–Scholes–Merton’s option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Популярные книги за неделю:

50 рецептов для аэрогриля

Автор:
Категория: house, house, cook
Размер книги: 771 Kb

Ключ к сверхсознанию

Автор:
Категория: Путь к себе
Размер книги: 309 Kb

Contemporary Theatre, Film and Television, Volume 97

Автор:
Размер книги: 3.18 Mb
Только что пользователи скачали эти книги:

Lorie O'Clare - Lunewulf 05 - In Her Soul

Автор:
Размер книги: 156 Kb

Виктор Леденев. Кораблекрушение

Автор:
Размер книги: 28 Kb

Dialgebras and related operads

Автор: , Автор: , Автор: , Автор:
Размер книги: 1.19 Mb

Blink: The Power of Thinking Without Thinking

Автор:
Размер книги: 36.92 Mb

The Sheriff's Daughter

Автор:
Категория: fiction
Размер книги: 259 Kb

Cat On The Edge

Автор:
Категория: fiction
Размер книги: 292 Kb