内容

目次

Fixed-Income Securities, Portfolio Management, and Mean-VariancePortfolio Optimization; Options and the No-Arbitrage Principle; BinomialModel, Valuation of European and American Options; Stochastic Integral andthe Ito Lemma, Applications, Derivation and Solution of the Black-ScholesEquation and the Greeks; Pseudo-Random Numbers, Transformation of RandomVariables, Generating Normal and Other Variates, Box-Muller and MarsagliaMethods; Option Pricing by Monte Carlo Simulations, Variance ReductionTechniques, and the Quasi-Monte Carlo Simulations; Finite Difference Methodsfor Solving Partial Differential Equations; Explicit, Implicit, and theCrank-Nicolson Methods for the Heat Equation and the Black-Scholes Equation,and the Relations to Tree Methods; Pricing European and American Options byPartial Differential Equations, and the Projected SOR Method.