Financial Engineering With Finite Elements

DOWNLOAD

Download Financial Engineering With Finite Elements PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Financial Engineering With Finite Elements book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Financial Engineering With Finite Elements

DOWNLOAD
Author : Juergen Topper
language : en
Publisher: John Wiley & Sons
Release Date : 2005-06-24

Financial Engineering With Finite Elements written by Juergen Topper and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-06-24 with Business & Economics categories.

The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

Financial Engineering With Finite Elements

DOWNLOAD
Author : Jürgen Topper
language : en
Publisher: John Wiley & Sons
Release Date : 2005-04

Financial Engineering With Finite Elements written by Jürgen Topper and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04 with Business & Economics categories.

The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

Finite Difference Methods In Financial Engineering

DOWNLOAD
Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-28

Finite Difference Methods In Financial Engineering written by Daniel J. Duffy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-28 with Business & Economics categories.

The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

The Finite Element Method For Elliptic Problems

DOWNLOAD
Author : P.G. Ciarlet
language : en
Publisher: Elsevier
Release Date : 1978-01-01

The Finite Element Method For Elliptic Problems written by P.G. Ciarlet and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978-01-01 with Mathematics categories.

The objective of this book is to analyze within reasonable limits (it is not a treatise) the basic mathematical aspects of the finite element method. The book should also serve as an introduction to current research on this subject. On the one hand, it is also intended to be a working textbook for advanced courses in Numerical Analysis, as typically taught in graduate courses in American and French universities. For example, it is the author's experience that a one-semester course (on a three-hour per week basis) can be taught from Chapters 1, 2 and 3 (with the exception of Section 3.3), while another one-semester course can be taught from Chapters 4 and 6. On the other hand, it is hoped that this book will prove to be useful for researchers interested in advanced aspects of the numerical analysis of the finite element method. In this respect, Section 3.3, Chapters 5, 7 and 8, and the sections on "Additional Bibliography and Comments should provide many suggestions for conducting seminars.

Handbooks In Operations Research And Management Science Financial Engineering

DOWNLOAD
Author : John R. Birge
language : en
Publisher: Elsevier
Release Date : 2007-11-16

Handbooks In Operations Research And Management Science Financial Engineering written by John R. Birge and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-16 with Business & Economics categories.

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Finite Elements Of Nonlinear Continua

DOWNLOAD
Author : John Tinsley Oden
language : en
Publisher: McGraw-Hill Companies
Release Date : 1971

Finite Elements Of Nonlinear Continua written by John Tinsley Oden and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Mathematics categories.

Introductory Finite Element Method

DOWNLOAD
Author : Chandrakant S. Desai
language : en
Publisher: CRC Press
Release Date : 2001-05-18

Introductory Finite Element Method written by Chandrakant S. Desai and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-05-18 with Technology & Engineering categories.

Although there are many books on the finite element method (FEM) on the market, very few present its basic formulation in a simple, unified manner. Furthermore, many of the available texts address either only structure-related problems or only fluid or heat-flow problems, and those that explore both do so at an advanced level. Introductory Finite Element Method examines both structural analysis and flow (heat and fluid) applications in a presentation specifically designed for upper-level undergraduate and beginning graduate students, both within and outside of the engineering disciplines. It includes a chapter on variational calculus, clearly presented to show how the functionals for structural analysis and flow problems are formulated. The authors provide both one- and two-dimensional finite element codes and a wide range of examples and exercises. The exercises include some simpler ones to solve by hand calculation-this allows readers to understand the theory and assimilate the details of the steps in formulating computer implementations of the method. Anyone interested in learning to solve boundary value problems numerically deserves a straightforward and practical introduction to the powerful FEM. Its clear, simplified presentation and attention to both flow and structural problems make Introductory Finite Element Method the ideal gateway to using the FEM in a variety of applications.

Introduction To C For Financial Engineers

DOWNLOAD
Author : Daniel J. Duffy
language : en
Publisher: John Wiley & Sons
Release Date : 2013-10-24

Introduction To C For Financial Engineers written by Daniel J. Duffy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Numerical Methods In Finance And Economics

DOWNLOAD
Author : Paolo Brandimarte
language : en
Publisher: John Wiley & Sons
Release Date : 2013-06-06

Numerical Methods In Finance And Economics written by Paolo Brandimarte and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-06 with Mathematics categories.

A state-of-the-art introduction to the powerful mathematical and statistical tools used in the field of finance The use of mathematical models and numerical techniques is a practice employed by a growing number of applied mathematicians working on applications in finance. Reflecting this development, Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition bridges the gap between financial theory and computational practice while showing readers how to utilize MATLAB?--the powerful numerical computing environment--for financial applications. The author provides an essential foundation in finance and numerical analysis in addition to background material for students from both engineering and economics perspectives. A wide range of topics is covered, including standard numerical analysis methods, Monte Carlo methods to simulate systems affected by significant uncertainty, and optimization methods to find an optimal set of decisions. Among this book's most outstanding features is the integration of MATLAB?, which helps students and practitioners solve relevant problems in finance, such as portfolio management and derivatives pricing. This tutorial is useful in connecting theory with practice in the application of classical numerical methods and advanced methods, while illustrating underlying algorithmic concepts in concrete terms. Newly featured in the Second Edition: * In-depth treatment of Monte Carlo methods with due attention paid to variance reduction strategies * New appendix on AMPL in order to better illustrate the optimization models in Chapters 11 and 12 * New chapter on binomial and trinomial lattices * Additional treatment of partial differential equations with two space dimensions * Expanded treatment within the chapter on financial theory to provide a more thorough background for engineers not familiar with finance * New coverage of advanced optimization methods and applications later in the text Numerical Methods in Finance and Economics: A MATLAB?-Based Introduction, Second Edition presents basic treatments and more specialized literature, and it also uses algebraic languages, such as AMPL, to connect the pencil-and-paper statement of an optimization model with its solution by a software library. Offering computational practice in both financial engineering and economics fields, this book equips practitioners with the necessary techniques to measure and manage risk.

Finite Element Solution Of Boundary Value Problems

DOWNLOAD
Author : O. Axelsson
language : en
Publisher: SIAM
Release Date : 2001-01-01

Finite Element Solution Of Boundary Value Problems written by O. Axelsson and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-01-01 with Mathematics categories.

a thorough, balanced introduction to both the theoretical and the computational aspects of the topic.