In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

We introduce a notion of volatility uncertainty in discrete time and define the corresponding analogue of Pengs G-expectation. In the continuous-time limit, the resulting sublinear expectation converges weakly to the G-expectation. This can be seen as a Donsker-type result for the G-Brownian...

The Finite Element Method is a well-studied and well-understood method of solving partial differential equations. It's applicability to financial models formulated as PDEs is demonstrated. It's advantage concerning the computation of accurate "Greeks" is delineated. This is demonstrated with...

We present an algebraic version of an iterative multigrid method for obstacle problems, called projected algebraic multigrid (PAMG) here. We show that classical AMG algorithms can easily be extended to deal with this kind of problem. This paves the way for efficient multigrid solution of...