Overview
- Engages the reader with an accessible account of a highly complex mathematical approach commonly applied in financial markets.
- Provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs)
- Specializes in PDE - the author has written numerous papers on the application of numerical methods focusing on PDEs and is beginning to bring this expertise to practitioners, most recently through quanthub, a new training platform.
Part of the book series: Financial Engineering Explained (FEX)
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About this book
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of mathematics is sufficient.
The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in finance.
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Keywords
Table of contents (13 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
About the author
Karel in ’t Hout is Associate Professor in the Department of Mathematics and Computer Science at University of Antwerp, specializing in the analysis and development of numerical methods for time-dependent partial differential equations with applications to finance. He has previously held positions as Visiting Professor at Arizona State University, Visiting Professor at Boise State University and Researcher at Leiden University and University of Auckland. Karel has also spent time in the industry, working as quantitative analyst at ABN Amro, Amsterdam. He holds a PhD in Mathematics from Leiden University.
Bibliographic Information
Book Title: Numerical Partial Differential Equations in Finance Explained
Book Subtitle: An Introduction to Computational Finance
Authors: Karel in 't Hout
Series Title: Financial Engineering Explained
DOI: https://doi.org/10.1057/978-1-137-43569-9
Publisher: Palgrave Macmillan London
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2017
Hardcover ISBN: 978-1-137-43568-2Published: 15 September 2017
Softcover ISBN: 978-1-349-95381-3Published: 11 August 2018
eBook ISBN: 978-1-137-43569-9Published: 02 September 2017
Edition Number: 1
Number of Pages: XIV, 128
Number of Illustrations: 42 b/w illustrations
Topics: Financial Engineering