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Derivative Securities and Difference Methods (Springer Finance)

Derivative Securities and Difference Methods (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details.

Synopsis:

This book explains how to establish appropriate partial differential equation boundary value problems for different sets of derivative products, and analyzes the application of finite differences techniques to a set of stated financial models.

About the Author

You-Lan Zhu is a Professor of Mathematics at the University of North Carolina at Charlotte. Xiaonan Wu is a Professor of Mathematics at Hong Kong Baptist University. I-Liang Chern is a Professor of Mathematics at National Taiwan University. Zhi-zhong Sun is a Professor of Mathematics at Southeast University.

Table of Contents

Introduction.- European Style Derivatives.- American Style Derivatives.- Exotic Options.- Interest Rate Derivative Securities.- Basic Numerical Methods.- Finite Difference Methods.- Initial-Boundary Value and LC Problems.- Free-Boundary Problems.- Interest Rate Modeling.

Product Details

ISBN:
9781461473053
Publisher:
Springer
Location:
New York, NY
Author:
Wu, Xiaonan
Author:
Sun, Zhi-zhong
Author:
Zhu, You-lan
Author:
Chern, I-Liang
Subject:
Applied
Subject:
Asset Price Models
Subject:
Black-Scholes-Equation
Subject:
Derivative securities
Subject:
Free boundary problems
Subject:
Jump Conditions
Subject:
Quantitative Finance
Subject:
PARTIAL DIFFERENTIAL EQUATIONS
Subject:
Computational Mathematics and Numerical Analysis
Subject:
Numerical analysis
Subject:
Finance/Investment/Banking
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Finance
Subject:
Differential equations, partial
Subject:
Computer science_xMathematics
Subject:
Mathematics-Applied
Copyright:
Edition Description:
2nd ed. 2013
Series:
Springer Finance
Publication Date:
20130505
Binding:
HARDCOVER
Language:
English
Pages:
653
Dimensions:
235 x 155 mm

Related Subjects


Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Basics
Science and Mathematics » Mathematics » Differential Equations
Science and Mathematics » Mathematics » General

Derivative Securities and Difference Methods (Springer Finance)
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Product details 653 pages Springer - English 9781461473053 Reviews:
"Synopsis" by , This book explains how to establish appropriate partial differential equation boundary value problems for different sets of derivative products, and analyzes the application of finite differences techniques to a set of stated financial models.
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