2011, ISBN: 9783846531969

Kartoniert, 180 Seiten, 220mm x 150mm x 11mm, Sprache(n): eng Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, … More...

Kartoniert, 180 Seiten, 220mm x 150mm x 11mm, Sprache(n): eng Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas.Wen Cheng received her Master of Science and Doctor of Philosophy in Experimental Psychology from the University of Texas at Arlington in 2008 and 2011 respectively. She currently works as a postdoctoral research fellow at the Center for Learning Assessment Service in National Tsing Hua University in Hsinchu, Taiwan. Versandkostenfreie Lieferung<

2011, ISBN: 3846531960

[EAN: 9783846531969], Neubuch, [PU: LAP LAMBERT Academic Publishing], nach der Bestellung gedruckt Neuware - Printed after ordering - Closed-form solutions to Kolmogorov type equations ar… More...

[EAN: 9783846531969], Neubuch, [PU: LAP LAMBERT Academic Publishing], nach der Bestellung gedruckt Neuware - Printed after ordering - Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas. 180 pp. Englisch, Books<

2018, ISBN: 9783846531969

[ED: Taschenbuch], [PU: LAP LAMBERT Academic Publishing], Neuware - Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pri… More...

[ED: Taschenbuch], [PU: LAP LAMBERT Academic Publishing], Neuware - Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas., DE, [SC: 0.00], Neuware, gewerbliches Angebot, 220x150x11 mm, 180, [GW: 286g], Banküberweisung, PayPal, Internationaler Versand<

ISBN: 9783846531969

Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are… More...

Closed-form solutions to Kolmogorov type equations are very important in many application areas, such as derivative pricing, quantum mechanics, statistical physics, etc. However, they are only available for some very special equations. This book considers general second order parabolic equations with coefficients that are dependent on both time and space. It extends the recently developed Dyson-Taylor commutator method for autonomous equations to non-autonomous equations. Closed-form approximations of the Green's functions that are accurate to any prescribed order are obtained. Consequently, the solutions to second order parabolic equations can be obtained by integrating the approximated Green's functions against initial data. For applications, this book considers Local Volatility models and Stochastic Volatility models that appear in option pricing theory, gives explicit formulas for European option prices, and carries out numerical tests for such formulas. Trade Books>Trade Paperback>Science>Mathematics>Mathematics, KS OmniScriptum Publishing Core >1<

2011, ISBN: 9783846531969

[ED: Kartoniert / Broschiert], [PU: LAP LAMBERT Academic Publishing], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Cheng… More...

[ED: Kartoniert / Broschiert], [PU: LAP LAMBERT Academic Publishing], Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Cheng WenDr. Cheng obtained his BS degree in mathematics from Nankai University in 2007, and received his PhD from the Pennsylvania State Univers, DE, [SC: 0.00], Neuware, gewerbliches Angebot, Taschenbuch, 180, [GW: 272g], Auflage, Banküberweisung, PayPal, [CT: Naturwissenschaft/Mathematik / Sonstiges - Naturwissenschaften]<