Understanding Numerical Analysis for Option Pricing

by B. J. Lapeyre

Description

This book provides the mathematical concepts needed to understand the most important algorithms currently used in finance, especially Monte Carlo, finite-difference, and parameter estimation. The authors assume a basic understanding of probability theory and stochastic processes, and option pricing, otherwise the presentation is reasonably self-contained with mathematical concepts introduced in the context of financial topics, and illustrated by examples drawn from finance. The book should show more be suitable either for graduate courses in mathematical and computational finance, or for self-study. Examples are provided throughout, and algorithms are also provided for some of the numerical schemes. show less