Index
1D elements, finite element methods 86-8, 98, 107-9, 111-13
2D elements, finite element methods 88-90, 93-104, 109, 112-14
3D elements, finite element methods 98, 100, 109-10, 114-15
3D IR/FX models, Bermudan callable steepener cross-currency swaps 189-91
9/11 196
acceptance-rejection methods, random number generators 154-6, 160
accompanying software 4
accrued interest 73
Acklam algorithm 157
advanced equity models 3, 193-207
advanced Monte Carlo techniques 3, 5, 161-77
see also Monte Carlo . . .
advancing (moving) unstructured-mesh generation algorithm 84-5
algebraic multigrid methods (AMGs) 126-7
Amdahl’s law 287-8
American options 3, 7-8, 12, 15, 179-91, 202-7
see also Bermudan . . .
definition 7-8, 179
Monte Carlo simulations 179-91
prices 3, 179-91, 202-3
amplification matrices 37-8
analytical solutions 14-15, 52-3, 58-9, 168, 206, 262-4
see also Black-Scholes PDE
annual compounding 39-40
antithetic variates, Monte Carlo simulations 161-3
APIs (application programming interfaces) 285-95
Apple 7
approximation tools 24-9, 43-5, 58-70, 81-115, 133-4, 145-6, 156-60, 180-91, 209-16, 257
see also backward difference...; central difference...; forward difference...
arbitrage 2, 9, 11, 13-14, 21, 45-6, 194-6
Archimedean copulas 222, 223-9, 231-4
see also Clayton...; Frank...; Gumbel...
arithmetic Asian options 164-6
artificial boundary conditions 2, 77-9, 210-16
Asian (arithmetic average rate) options 71-2, 164-6
asset allocations 253
asymptotic analysis 145-6
see also approximation ...
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