Front Cover; Computational Methods in Finance; Copyright; Dedication; Table of Contents; List of Symbols and Acronyms; List of Figures; List of Tables; Preface; Acknowledgments; Part I: Pricing and Valuation; 1. Stochastic Processes and Risk-Neutral Pricing; 2. Derivatives Pricing via Transform Techniques; 3. Introduction to Finite Differences; 4. Derivative Pricing via Numerical Solutions of PDEs; 5. Derivative Pricing via Numerical Solutions of PIDEs; 6. Simulation Methods for Derivatives Pricing; Part II: Calibration and Estimation; 7. Model Calibration
8. Filtering and Parameter EstimationReferences; Back Cover
Summary
I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier TransformFractional Fast Fourier TransformDerivatives Pricing via the Fourier-Cosine (COS) MethodCosine Method for Path-Dependent OptionsSaddlepoint MethodIntroduction to Finite DifferencesTaylor Expansion Finite Difference MethodStability AnalysisDerivative Approximation by Finite Differences: A Generic Approach Matrix Equati
