Download or read book Financial Engineering with Finite Elements written by Jürgen Topper and published by John Wiley & Sons. This book was released on 2005-04 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

Download or read book Financial Engineering with Finite Elements written by Juergen Topper and published by John Wiley & Sons. This book was released on 2005-06-24 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

Download or read book Finite Element Analysis for Engineering and Technology CD Rom Included written by T. Chandrupatla and published by Universities Press. This book was released on 2004 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Mathematical Theory of Finite Element Methods written by Susanne Brenner and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous and thorough mathematical introduction to the subject; A clear and concise treatment of modern fast solution techniques such as multigrid and domain decomposition algorithms; Second edition contains two new chapters, as well as many new exercises; Previous edition sold over 3000 copies worldwide

Download or read book Finite Difference Methods in Financial Engineering written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-28 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Download or read book Handbooks in Operations Research and Management Science Financial Engineering written by John R. Birge and published by Elsevier. This book was released on 2007-11-16 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2012-03-09 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Download or read book Tools for Computational Finance written by Rüdiger Seydel and published by Springer. This book was released on 2012-03-16 with total page 429 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Download or read book Finite Element Procedures written by Klaus-Jürgen Bathe and published by . This book was released on 1996 with total page 1066 pages. Available in PDF, EPUB and Kindle. Book excerpt: BASIC APPROACH: Comprehensive -- this text explores the "full range" of finite element methods used in engineering practice for actual applications in computer-aided design. It provides not only an introduction to finite element methods and the commonality in the various techniques, but explores state-of-the-art methods as well -- with a focus on what are deemed to become "classical techniques" -- procedures that will be "standard and authoritative" for finite element analysis for years to come. FEATURES: presents in sufficient depth and breadth elementary concepts AND advanced techniques in statics, dynamics, solids, fluids, linear and nonlinear analysis. emphasizes both the physical and mathematical characteristics of procedures. presents some important mathematical conditions on finite element procedures. contains an abundance of worked-out examples and various complete program listings. includes many exercises/projects that often require the use of a computer program.

Download or read book Introduction to Finite Element Analysis Using SOLIDWORKS Simulation 2015 written by Randy Shih and published by SDC Publications. This book was released on 2015 with total page 507 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary goal of Introduction to Finite Element Analysis Using SOLIDWORKS Simulation 2015 is to introduce the aspects of Finite Element Analysis (FEA) that are important to engineers and designers. Theoretical aspects of FEA are also introduced as they are needed to help better understand the operation. The primary emphasis of the text is placed on the practical concepts and procedures needed to use SOLIDWORKS Simulation in performing Linear Static Stress Analysis and basic Modal Analysis. This text covers SOLIDWORKS Simulation and the lessons proceed in a pedagogical fashion to guide you from constructing basic truss elements to generating three-dimensional solid elements from solid models. This text takes a hands-on, exercise-intensive approach to all the important FEA techniques and concepts. This textbook contains a series of fourteen tutorial style lessons designed to introduce beginning FEA users to SOLIDWORKS Simulation. The basic premise of this book is that the more designs you create using SOLIDWORKS Simulation, the better you learn the software. With this in mind, each lesson introduces a new set of commands and concepts, building on previous lessons.

Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Download or read book Finite Element Modeling in Engineering Practice written by Constantine Christoforos Spyrakos and published by . This book was released on 1996 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Finite Element Method in Mechanical Design written by Charles E. Knight and published by Brooks/Cole. This book was released on 1993 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: * For the first course in Finite Element Methods taken by mechanical, civil, aerospace, and other engineering majors at junior or senior level..* Excellent applicaitons drawn from mechanical/aeronautical engineering..* Provides enough theory for students to work with Finite Element Analysis (FEM) without bogging down in details unrelated to practical engineering problems..* Contains a bound-in disk for students to use with the problems in FEM.

Download or read book The Finite Element Method for Elliptic Problems written by P.G. Ciarlet and published by Elsevier. This book was released on 1978-01-01 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this book is to analyze within reasonable limits (it is not a treatise) the basic mathematical aspects of the finite element method. The book should also serve as an introduction to current research on this subject. On the one hand, it is also intended to be a working textbook for advanced courses in Numerical Analysis, as typically taught in graduate courses in American and French universities. For example, it is the author's experience that a one-semester course (on a three-hour per week basis) can be taught from Chapters 1, 2 and 3 (with the exception of Section 3.3), while another one-semester course can be taught from Chapters 4 and 6. On the other hand, it is hoped that this book will prove to be useful for researchers interested in advanced aspects of the numerical analysis of the finite element method. In this respect, Section 3.3, Chapters 5, 7 and 8, and the sections on "Additional Bibliography and Comments should provide many suggestions for conducting seminars.

Download or read book Introduction to C for Financial Engineers written by Daniel J. Duffy and published by John Wiley & Sons. This book was released on 2013-10-24 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Download or read book Introduction to Finite Element Analysis for Engineers written by Saad A. Ragab and published by CRC Press. This book was released on 2018-04-17 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finite Element Analysis for Engineers introduces FEA as a technique for solving differential equations, and for application to problems in Civil, Mechanical, Aerospace and Biomedical Engineering and Engineering Science & Mechanics. Intended primarily for senior and first-year graduate students, the text is mathematically rigorous, but in line with students' math courses. Organized around classes of differential equations, the text includes MATLAB code for selected examples and problems. Both solid mechanics and thermal/fluid problems are considered. Based on the first author's class-tested notes, the text builds a solid understanding of FEA concepts and modern engineering applications.

Download or read book Statistics and Data Analysis for Financial Engineering written by David Ruppert and published by Springer. This book was released on 2015-04-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.