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1、—WY061-FMdrvWY061-TopperJanuary10,200522:21CharCount=0“TherichknowledgeofnumericalanalysisfromengineeringisbeginningtomergewithmathematicalfinanceinthethisnewbookbyJurgenTopper–oneofthefirstintroducing¨FiniteElementMethods(FEM)infinancialengineering.Manydifferentialequations
2、relevantinfinanceareintroducedquickly.AspecialfocusistheBlack-Scholes/Mertonequationinoneandmoredimensions.DetailedexamplesandcasestudiesexplainhowtouseFEMtosolvetheseequations–easytoaccessforalargeaudience.TheexamplesuseSewell’sPDE2Deasy-to-use,interactive,general-purpose
3、partialdifferentialequationsolverwhichhasbeenindevelopmentfor30years.Wefindadetaileddiscussionofboundaryconditions,handlingofdividendsandapplicationstoexoticoptionsincludingbasketswithbarriersandoptionsonatradingaccount.Manyusefulmathematicaltoolsarelistedintheextendedappe
4、ndix.”UweWystup,CommerzbankSecuritiesandHfB,BusinessSchoolofFinanceandManagement,Germany“Engineershaveverysuccessfullyappliedfiniteelementsmethodsfordecades.Forthefirsttime,JurgenToppernowintroducesthispowerfultechniquetothefinancialcommunity.He¨givesacomprehensiveoverviewof
5、finiteelementsanddemonstrateshowthismethodcanbeusedinelegantlysolvingderivativespricingproblems.Thisbookfillsagapintheliteratureforfinancialmodellingtechniquesandwillbeaveryusefuladditiontothetoolkitoffinancialengineers.”ChristianT.Hille,NomuraInternationalplc,London“JurgenTo
6、pperprovidesthefirsttextbookonthenumericalsolutionofdifferentialequations¨arisinginfinancewithfiniteelements(FE).SincemoststandardFEtextbooksonlycoverself-adjointPDEs,thisbookisveryusefulbecauseitdiscussesFEforproblemswhicharenotself-adjointlikemostproblemsinoptionpricing.Be
7、sides,itpresentsamethods(collocationFE)forproblemswhichcannotbecastintodivergenceform,sothatthepopularGalerkinapproachcannotbeapplied.Altogether:Arecommendablerecourceforquantsandacademicslookingforanalternativetofinitedifferences.”MatthiasHeurich,CapitalMarketsRates,Quant
8、itativeAnalyst,DresdnerKleinwortWasserstein“Thisbookistomyknowledgethefirstonewhichcoversthetechn
