- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- Acknowledgements
- About the Authors
- 1 Introduction and Reading Guide
- 2 Binomial Trees
- 3 Finite Differences and the Black-Scholes PDE
- 4 Mean Reversion and Trinomial Trees
- 5 Upwinding Techniques for Short Rate Models
- 6 Boundary, Terminal and Interface Conditions and their Influence
- 7 Finite Element Methods
- 8 Solving Systems of Linear Equations
- 9 Monte Carlo Simulation
- 10 Advanced Monte Carlo Techniques
- 11 Valuation of Financial Instruments with Embedded American/Bermudan Options within Monte Carlo Frameworks
- 12 Characteristic Function Methods for Option Pricing
- 13 Numerical Methods for the Solution of PIDEs
- 14 Copulas and the Pitfalls of Correlation
- 15 Parameter Calibration and Inverse Problems
- 16 Optimization Techniques
- 17 Risk Management
- 18 Quantitative Finance on Parallel Architectures
- 19 Building Large Software Systems for the Financial Industry
- Bibliography
- Index
A Workout in Computational Finance
Michael Aichinger
Andreas Binder
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