Derivative Securities and Difference Methods (Springer Finance) - Hardcover

Zhu, You-lan; Wu, Xiaonan; Chern, I-Liang

 
9780387208428: Derivative Securities and Difference Methods (Springer Finance)
Hardcover
ISBN 10: 0387208429 ISBN 13: 9780387208428
Verlag: Springer, 2004

Inhaltsangabe

This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.

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Von der hinteren Coverseite

This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite-difference methods. The book also discusses how to determine the coefficients in the partial differential equations.The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop efficient derivative-pricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative finance as well as practitioners in the financial industry and code developers.

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Verlag
Springer
Erscheinungsdatum
2004
Sprache
Englisch
ISBN 10 
0387208429
ISBN 13 
9780387208428
Einband
Gebundene Ausgabe
Anzahl der Seiten
513
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
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Hamburg
Deutschland

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