Yves Achdou – Computational Methods for Option Pricing
Yves Achdou – Computational Methods for Option Pricing
Yves Achdou – Computational Methods for Option Pricing
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YVES ACHDOU – COMPUTATIONAL METHODS FOR OPTION PRICING
This book is a must have for anyone interested in learning more about the modern tools of numerical analysis. Important aspects of finance modeling are reviewed, including the fast and accurate pricing of financial derivatives and the calibration of parameters. From their mathematical analysis up to their implementation in C with efficient numerical libraries are explored and discussed. This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options, modern algorithms with adaptive mesh refinement for European and American options, regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up
Yves Achdou is a Computational Methods for option pricing.
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