R.U.Seydel - Tools for Computional Finance [Springer 2009]

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1、R¨udigerU.SeydelToolsforComputationalFinanceFourthEditionABCProf.Dr.RüdigerU.SeydelUniversitätKölnMathematisch-Naturwiss.FakultätMathematischesInstitutWeyertal86-9050931KölnGermanyseydel@math.uni-koeln.deISBN:978-3-540-92928-4e-ISBN:978-3-540-92929-1DOI:10.1007/978-3-540-92929-1LibraryofCongressCo

2、ntrolNumber:2008943076c2002,2004,2006,2009Springer-VerlagBerlinHeidelbergThisworkissubjecttocopyright.Allrightsarereserved,whetherthewholeorpartofthematerialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation,broadcasting,reproductiononmicrofilmorinanyotherway,

3、andstorageindatabanks.DuplicationofthispublicationorpartsthereofispermittedonlyundertheprovisionsoftheGermanCopyrightLawofSeptember9,1965,initscurrentversion,andpermissionforusemustalwaysbeobtainedfromSpringer.ViolationsareliabletoprosecutionundertheGermanCopyrightLaw.Theuseofgeneraldescriptivenam

4、es,registerednames,trademarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:WMXDesignGmbH,HeidelbergPrintedonacid-freepaperspringer.comPrefacetotheFirstEditionBasicpri

5、nciplesunderlyingthetransactionsoffinancialmarketsaretiedtoprobabilityandstatistics.Accordinglyitisnaturalthatbooksdevotedtomathematicalfinancearedominatedbystochasticmethods.Onlyinrecentyears,spurredbytheenormouseconomicalsuccessoffinancialderivatives,aneedforsophisticatedcomputationaltechnologyhasd

6、eveloped.Forex-ample,topriceanAmericanput,quantitativeanalystshaveaskedforthenumericalsolutionofafree-boundarypartialdifferentialequation.Fastandaccuratenumericalalgorithmshavebecomeessentialtoolstopricefinancialderivativesandtomanageportfoliorisks.TherequiredmethodsaggregatetothenewfieldofComputatio

7、nalFinance.Thisdisciplinestillhasanauraofmysteriousness;thefirstspecialistsweresometimescalledrocketscientists.Sofar,theemergingfieldofcomputationalfinancehashardlybeendiscussedinthemathematicalfinanceliterature.This