Derivative Securities and Difference Methods (Springer Finance)

You-lan Zhu

ISBN 10: 0387208429 / ISBN 13: 9780387208428

Verlag: Springer (edition 2004 edition), 2004

Beschreibung

It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience.

Bestandsnummer des Verkäufers 0387208429-11-1

Bibliografische Details

• Titel: Derivative Securities and Difference Methods (Springer Finance)
• Verlag: Springer (edition 2004 edition)
• Erscheinungsjahr: 2004
• Sprache: Englisch
• ISBN-10: 0387208429
• ISBN-13: 9780387208428
• Einband: Hardcover
• Auflage: 2004 edition.
• Zustand: Good

Über diesen Titel

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.

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.