- STAFF PICKS
- GIFTS + GIFT CARDS
- SELL BOOKS
- FIND A STORE
This item may be
Check for Availability
Other titles in the Springer Finance series:
Derivative Securities and Difference Methods (Springer Finance)
Synopses & Reviews
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.
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.
What Our Readers Are Saying
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Basics
Science and Mathematics » Mathematics » Differential Equations
Science and Mathematics » Mathematics » General