Financial Engineering Explained

Numerical Partial Differential Equations in Finance Explained

An Introduction to Computational Finance

Authors: in t Hout, Karel

  • 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. 
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eBook $24.99
price for USA (gross)
  • ISBN 978-1-137-43569-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $34.99
price for USA
  • ISBN 978-1-137-43568-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

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.

Table of contents (13 chapters)

Buy this book

eBook $24.99
price for USA (gross)
  • ISBN 978-1-137-43569-9
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $34.99
price for USA
  • ISBN 978-1-137-43568-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Numerical Partial Differential Equations in Finance Explained
Book Subtitle
An Introduction to Computational Finance
Authors
Series Title
Financial Engineering Explained
Copyright
2017
Publisher
Palgrave Macmillan UK
Copyright Holder
The Editor(s) (if applicable) and The Author(s)
eBook ISBN
978-1-137-43569-9
DOI
10.1057/978-1-137-43569-9
Hardcover ISBN
978-1-137-43568-2
Edition Number
1
Number of Pages
XVI, 128
Number of Illustrations and Tables
43 b/w illustrations
Topics