Computing Financial Derivatives : A Finite-Difference Approach

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.