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商品詳細
Quantitative Methods for Finance with Simulations II : Numerical Methods and Monte Carlo Integration.
・ISBN 978-3-032-12330-5 hard EUR 74.99
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| 著者・編者 | Choe, Geon Ho, |
|---|---|
| シリーズ | Springer Texts in Business and Economics |
| 出版社 | (Springer Nature Switzerland AG, SZ) |
| 出版年月 | 2026 |
| ページ数 | 618 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-19557＞ |
解説
This self-contained book is the second of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers numerical methods, including numerical solutions of ordinary and partial differential equations such as the Black-Scholes-Merton equation, as well as stochastic differential equations, Monte Carlo methods, estimation of implied volatility, stochastic volatility models, and Fourier transform methods for option pricing. The numerical methods are implemented in both Matlab and Python. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.