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\iteman{ZMATH 05985502}
\itemau{Hirsa, Ali}
\itemti{Computational methods in finance.}
\itemso{Chapman \& Hall/CRC Financial Mathematics Series. Boca Raton, FL: CRC Press (ISBN 978-1-4398-2957-8/hbk). xxix, 414~p. \sterling~49.99/hbk (2013).}
\itemab
The subject of this book are numerical methods for financial model calibration and derivative pricing. The focus is on practically useful concepts and methods, not on mathematical theory. Thus, the author manages to include a surprisingly large amount of material. The main pricing models used in practice (Black-Scholes, some L{\'e}vy models, Heston, local volatility) are briefly presented. Besides brief, but self-contained, presentations of standard option pricing methods (transform techniques, finite differences, Monte Carlo), there are several sections on topics that are rarely treated in textbooks: saddle point approximations, numerical solution of PIDEs, and others. There is also extensive material on model calibration, including interest rate models and filtering approaches. The book is a very comprehensive and useful reference for anyone, even with limited mathematical background, who wishes to quickly understand techniques from computational finance.
\itemrv{Stefan Gerhold (Vienna)}
\itemcc{M35}
\itemut{computational finance; option pricing; characteristic functions; PDEs; finite differences; PIDEs; Monte Carlo; model calibration; filtering}
\itemli{}
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