Numerical Methods

Eckhard Platen () and David Heath ()
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Eckhard Platen: University of Technology
David Heath: Australian National University

Chapter 15 in A Benchmark Approach to Quantitative Finance, 2006, pp 551-613 from Springer

Abstract: Abstract This final chapter describes a range of numerical methods that have been used for the pricing of derivative contracts and other tasks in quantitative finance. First we describe random number generation and simulation methods for scenario and Monte Carlo simulation. Finally, we introduce tree methods and numerical schemes for the solution of partial differential equations.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-540-47856-0_15

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DOI: 10.1007/978-3-540-47856-0_15

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