768. Computational Methods for Option Pricing

Yves Achdou, Olivier Pironneau “Computational Methods for Option Pricing"
Society for Industrial and Applied Mathematic | 2005-07-01 | ISBN: 0898715733 | 297 pages | PDF | 11,2 MB

This book is a must for becoming better acquainted with the modern tools of numerical analysis for several significant computational problems arising in finance. Important aspects of finance modeling are reviewed, involving partial differential equations and numerical algorithms for the fast and accurate pricing of financial derivatives and the calibration of parameters. The best numerical algorithms are fully explored and discussed, from their mathematical analysis up to their implementation in C++ with efficient numerical libraries.

This is one of the few books that thoroughly covers the following topics: mathematical results and efficient algorithms for pricing American options; modern algorithms with adaptive mesh refinement for European and American options; regularity and error estimates are derived and give strong support to the mesh adaptivity, an essential tool for speeding up the numerical implementations; calibration of volatility with European and American options; the use of automatic differentiation of computer codes for computing greeks.

Mathematical finance is an old science but has become a major topic for numerical analysts since Merton [97], Black-Scholes [16] modeled financial derivatives. An excellent book for the mathematical foundation of option pricing is Lamberton and Lapeyre's [85]. Since the Black-Scholes model relies on stochastic differential equations, option pricing rapidly became an attractive topic for specialists in the theory of probability, and stochastic methods were developed first for practical applications, along with analytical closed formulas. But soon, with the rapidly growing complexity of the financial products, other numerical solutions became attractive. Applying the Monte-Carlo method to option pricing is very natural and not difficult, at least for European options, but speeding up the method by variance reduction may become tricky. Similarly, tree methods are very intuitive and fast but also rapidly become difficult as the complexity of the financial product grows

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766. Global Purchasing and Supply Management: Fulfill the Vision

Global Purchasing and Supply Management
Springer | 2004-03-01 | ISBN: 1402078161 | 464 pages | PDF | 8 MB

The book's unique perspective serves to address both theory and practice, making it an essential volume for various professionals and practitioners.
-Professional managers and buyers: The newly appointed manager from another business function will find this is the only management book that completely covers the disciplines of purchasing and supply management.
-Practitioners: Use this book as a buyer's handbook, a reference and "how to" manual with easy access to a myriad of contemporary supply management topics.-Consultants and information technology experts: Gain greater insight into the processes and techniques used in the field by reviewing the "nuts and bolts" approach to the fundamental supply management processes in a global context.
-Students of purchasing and supply management or marketing: Find practical material for learning the tasks of global purchasing in the real world.

This book takes a unique approach to describing the extremely complex and rapidly changing field of purchasing and supply management. There have been and continue to be volumes written about supply chain strategies, business-to-business e-commerce, and supplier collaboration. In contrast to most of these, this work addresses the fundamental structure and tasks incumbent upon the supply management organization in meeting the global procurement needs of the enterprise. The authors have created the solid foundation upon which improvement must be built.
The fundamental processes and management principles inherent in performing the role of managing the organization’s global supply chain are described. Using this platform, the authors have introduced some of the tools offered by the Internet and by constantly evolving software applications to simplify, streamline and automate many previously burdensome manual tasks necessary to achieve supply management’s critical mission.

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