Featuring international contributors from both industry and academia, Numerical Methods for Finance explores new and relevant numerical methods for the solution of practical problems in finance. It is one of the
Numerical Methods and Optimization in Finance presents such computational techniques, with an emphasis on simulation and optimization, particularly so-called heuristics. This book treats quantitative analysis as an essentially computational discipline in which applications are put into software form and tested...
numerical methods, we move on to describe the most important tools, such as: 1) numerical integration by Monte Carlo sampling and low-discrepancy sequences (with due emphasis on variance reduction strategies); 2) finite difference methods for partial differential equations; 3) optimization methods....
C.MarianiIndranilSenGuptaGranvilleSewellTaylor & Francis GroupQuantitative FinanceMariani, M.C.; SenGupta, I.; Sewell, G. Numerical methods applied to option pricing models with transaction costs and stochastic volatility. Quant. Financ. 2015, 15, 1417-1424....
As in many problems in finance, in a previous step to the numerical solution, the initial spatial unbounded domain is truncated to a computational bounded one. For this purpose, we introduce a large enough fixed value of the asset price S‾ and consider the spatial bounded domain [0,S‾...
Numerical Methods in Finance with C++_Maciej J. Capi´ nski and Tomasz Zastawniak 热度: Introduction To Tensor Calculus and Continuum Mechanics 热度: 1 Introduction to Tensor Calculus and Continuum Mechanics.pdf 热度: 相关推荐 NumericalMethodsinContinuumMechanics2000,LiptovskýJán,Slovak...
A simple model interface where both functions are exposed in Excel can be built using thexlSlimaddin. xlSlim isvery easyto use and one can set-up an Excel based tool from Python methods in minutes. Note that we can update the model with new data, but the end user would not care or ...
Numerical Methods for Ordinary Differential Equations:常微分方程的数值方法 热度: Numerical Methods in Finance and Economics A MATLAB …:数值方法在金融和经济学的MATLAB… 热度: 相关推荐 Numerical Methods Jordanian-German Winter Academy 2006 Participant: Bashar Qawasmeh Outline 1. Introduction ...
Kolmogorov partial differential equations (PDEs) have found wide application in physics [32], chemistry [46], finance [3], and the natural sciences [7]. Various numerical methods such as finite difference [4, 21, 22, 52] and finite element method [11, 53] have been proposed and widely ...
regularity, especially the numerical schemes with stability, convergence and asymptotic compatibility. In the past few years, the author of this paper has been committed to the research of mathematical theory and numerical methods of nonlocal models, and has made some meaningful research results in ...