Novel Methods in Computational Finance

Offers new or improved methods for dealing with volatility of the financial marketIncludes concise discussion of modelling, analysis and numerical solution methods for nonlinear Black-Scholes equations
Several sections devoted to GPU programming techniques for solving financial problems
Special chapter on software includes the Computational Finance Toolbox that provides insights to the detailed implementation of the proposed methods

Autorentext
Matthias Ehrhardt is coordinator of ITN STRIKE.and professor of mathematics at University of Wuppertal, Germany.

Inhalt
Part I Modelling.- Part II Analysis.- Part III Transformation Methods and Special Discretizations.- Part IV Numerical Methods in Finance.- Part V Compact FDMs and Splitting Schemes.- Part VI Scientific Computing.- Part VII High Performance Computing.- Part VIII Software.