Computational Methods for Option Pricing (Frontiers in Applied Mathematics, Series Number 30) by Yves Achdou (PDF)

Description

This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries. 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 the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.

User’s Reviews

Editorial Reviews: Book Description This book allows you to understand fully the modern tools of numerical analysis in finance. About the Author Yves Achdou is a Professor at the Université Denis Diderot, Paris. He was awarded the Prix Blaise Pascal de l’Académie des Sciences in 1998.Olivier Pironneau is a Professor at the Université Pierre et Marie Curie, Paris. He has been a member of the Académie des Sciences since 2002 and is the author of more than 300 articles and eight books.

Reviews from Amazon users which were colected at the time this book was published on the website:

⭐This book is only the material for author’s classes.If you read the book just for your reseach, you will find many loophole in the contents. Many explanations are skipped so it’s very hard to understand the author’s intention in this book.Thank you.

⭐The previous reviewer is completely wrong in giving this book one star. As a quant with a computational background, I have found this book to have excellent material.

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