Computing Financial Derivatives - A Finite-Difference Approach

List of contents

Introduction to Financial Derivatives. The Mathematical Modelling of Options Pricing Using Finite-Difference Methods. Elementary Finite-Difference Methods. Advanced Finite-Difference Methods. Semi-Lagrange Time Integration using Finite Difference Methods. Further Applications of the Finite-Difference Method. Conclusion.

Summary

From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with discretization techniques, numerical algorithms, distributed algorithms, and practical applications of these methods to real-world examples. The book offers a detailed description of mathematical modeling as well as a focus on implementation and results. Additional topics covered include Cartesian meshes, non-uniform time-stepping routines, and semi-Lagrangian time integration schemes.

Product details

• Authors: Choi-Hong Lai, Choi-Hong (University of Greenwich Lai, Sweta Rout-Hoolash, Sweta (Aism Ltd. Rout-Hoolash, Sweta Lai Rout-Hoolash, Sweta/ Lai Rout-hoolash
• Publisher: Taylor & Francis Ltd.
• Languages: English
• Product format: Hardback
• Released: 30.06.2026
• EAN: 9781420082647
• ISBN: 978-1-4200-8264-7
• No. of pages: 268
• Series: Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series; Chapman & Hall/CRC Numerical Analysis and Scientific Computing Series
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries