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Basic principles underlying the transactions of financial markets are tied to probability and statistics. Accordingly it is natural that books devoted to mathematical finance are dominated by stochastic methods. Only in recent years, spurred by the enormous economical success of financial derivatives, a need for sophisticated computational technology has developed. For example, to price an American put, quantitative analysts have asked for the numerical solution of a free-boundary partial differential equation. Fast and accurate numerical algorithms have become essential tools to price financial derivatives and to manage portfolio risks. The required methods aggregate to the new field of Computational Finance. This discipline still has an aura of mysteriousness; the first. | Universitext Rudiger U. Seydel Tools for Computational Finance Third Edition Aspringer Rudiger U. Seydel University of Koln Institute of Mathematics Weyertal 86-90 50931 Koln Germany E-mail seydel@math.uni-koeln.de The figure in the front cover illustrates the value of an American put option. The slices are taken from the surface shown in the Figure 1.5. Mathematics Subject Classification 2000 65-01 90-01 90A09 Library of Congress Control Number 2005938669 ISBN-10 3-540-27923-7 Springer Berlin Heidelberg New York ISBN-13 978-3-540-27923-5 Springer Berlin Heidelberg New York This work is subject to copyright. All rights are reserved whether the whole or part of the material is concerned specifically the rights of translation reprinting reuse of illustrations recitation broadcasting reproduction on microfilm or in any other way and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9 1965 in its current version and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science Business Media springer.com Springer-Verlag Berlin Heidelberg 2006 Printed in The Netherlands The use of general descriptive names registered names trademarks etc. in this publication does not imply even in the absence of a specific statement that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting by the author and TechBooks using a Springer TeX macro package Cover design design production GmbH Heidelberg Printed on acid-free paper SPIN 11431596 40 TechBooks .
