Pricing Financial Instruments: The Finite Difference Method

St ndig werden neue und immer komplexere Finanzprodukte entwickelt, f r deren Analyse neue und immer komplexere mathematischen Modelle und Algorithmen n tig sind. Die Computational Finance l st dieses Problem. Sie integriert mathematische Analyse, finanzwirtschaftliche Theorien und Computertechnologie und stellt damit einen quantitativen Ansatz f r das Risikomanagement dar. Computational Finance umfa t computergest tzte Methoden und basiert auf algorithmischen und numerischen Verfahren moderner Finanzmathematik; mit ihrer Hilfe werden auch neue Finanzprodukte geschaffen.
Finite Differences in Pricing Financial Instruments ist das erste Buch auf dem Markt, das in die Grundlagen der Computational Finance einf hrt und dabei sowohl die Theorie als auch die Anwendung in der Praxis abdeckt.

Author: Domingo Tavella, Curt Randall
Publisher: Wiley
Published: 04/21/2000
Pages: 256
Binding Type: Hardcover
Weight: 1.15lbs
Size: 9.34h x 6.30w x 0.86d
ISBN: 9780471197607

Review Citation(s):
Reference and Research Bk News 11/01/2001 pg. 119

About the Author
DOMINGO TAVELLA, Ph.D., is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance, and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Before founding Octanti Associates, Dr. Tavella was director of financial engineering at Integral Development Corporation and vice president at Bankers Trust Securities. Prior to that, he was a scientist at Stanford University and NASA Ames Research Center.

CURT RANDALL, Ph.D., is a Principal and Vice President of Applications at SciComp Inc., a leading developer of software synthesis technology for the finance industry. He has extensive experience in the application of finite difference methods to a variety of disciplines. Prior to joining SciComp, Dr. Randall developed computational methods for advanced simulations at Schlumberger Corporation. Before that, he was a research scientist at Lawrence Livermore National Laboratory.