Topics for Computational Finance

Collection in addition to Seydel's "Tools for Computational Finance"

The page was set up in May 2012. Several topics of computational finance are illustrated and explained. The Topics extend the Tools. Our aim is to provide colored illustrations, which may support understanding. The collection will be extended. Properly quoted, the Topics for CF may be used for teaching purposes.

topicin Edition 6, it refers to
1:   Discrete Dividend I: Non-Connected Stopping RegionSection 1.4.7
2:   Parameter Dependence of Tree MethodsSection 1.4
3:   Rejection Method: Applications  Sections 2.2, 2.3
4:   Finite Differences: Non-Equidistant Grids  Chapters 4, 5, 6
5:   Discrete Dividend II: Jump in the Value Function   p. 245, Section 1.4.7
6:   Monte Carlo: Regression for American-Style Options   Chapter 3
7:   Two-Asset American-Style Maximum Call: Early-Exercise Structure   p. 347, Exercise 6.2
8:   Tilted Tree for Vanilla Options   Exercise 1.7
9:   Penalty Method for a Vanilla Option   Sections 4.5.4, 6.7
10:   Efficiency of Standard Normal Distribution Function   Appendix E.2, Exercise 1.5
11:   Approximating Volatility Surfaces   Volatility, Appendix A6
12:   Assembling for FE Methods on a Planar Domain   Section 5.4.4, Exercise 5.8
13:   High Contact of a Perpetual Option   Section 4.5, Exercise 4.7
14:   Random Numbers from RANDU   Section 2.1, Exercise 2.3

last change: Feb 2023