Contact
How to shop
Delivery
Shopping guide
Numerical methods for Volatility Estimation and Option Pricing
Numerical methods in Finance
English
118 b
Up to 30 days for returns
Customers also purchased
/
Paperback
17 752
Ft
/
Paperback
2 378
Ft
This manuscript presents a synthesis of my contributions during the years of my thesis that I defended in 2015. We have been interested in the applications of mathematics in finance such as option pricing and volatility estimation. First, we dealt with calibrating local volatility problem from market option prices, which is an inverse problem. We proposed an alternative approach based on the regularization method of Tikhonov, using the Dupire partial differential equation modeling the option price, and we tested numerically the proposed algorithms. On the other hand, we developed an adequate method of "DDGRK" Direct Discontinuous Galerkin, and Runge-Kutta of order two and three for the time discretization for pricing Option. Finally, we proposed the Runge-Kutta stochastic method in time for the evaluation of an European option with stochastic volatility when the volatility dynamics follows the CEV model.
About the book
English
Categories
Give this book today
It's easy
1 Add to cart and choose Deliver as present at the checkout 2 We'll send you a voucher 3 The book will arrive at the recipient's addressYou might also be interested in
/
Paperback
10 063
Ft
/
Paperback
11 016
Ft
/
Toy
6 426
Ft
/
Paperback
7 393
Ft
/
Paperback
3 007
Ft
