Computational Methods for Quantitative Finance: Finite Element Methods for Derivative Pricing

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of shastic market models with jumps, including, in particular, all currently used Lévy and shastic volatility ...