MATHEMATICAL MODELING AND COMPUTATION IN FINANCE: WITH EXERCISES AND PYTHON AND MATLAB COMPUTER CODES - Hardcover

Cornelis W Oosterlee; Lech A Grzelak

Hardcover

ISBN 10: 1786347946 ISBN 13: 9781786347947

Publisher: World Scientific Publishing Europe Ltd, 2019

Synopsis

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance. When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play...

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About the Author

Cornelis W ("Kees") Oosterlee is a Professor of applied numerical mathematics at Delft University of Technology. He is also senior scientist at CWI — Centrum Wiskunde & Informatica, in Amsterdam — and member of CWI's management team. Kees got his PhD from Delft in 1993, after which he worked in the German research center FhG SCAI for eight years. His research focus is on developing novel, robust...

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Edition details

• Publisher: World Scientific Publishing Europe Ltd
• Publication date: 2019
• ISBN 10: 1786347946
• ISBN 13: 9781786347947
• Binding: Hardcover
• Language: English
• Number of pages: 540