Derivative Securities and Difference Methods / Edition 1

Derivative Securities and Difference Methods / Edition 1

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

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

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Overview

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 sk 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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Product Details

ISBN-13:
9780387208428
Publisher:
Springer-Verlag New York, LLC
Publication date:
08/27/2004
Series:
Springer Finance Series
Edition description:
2004
Pages:
536
Product dimensions:
1.19(w) x 9.21(h) x 6.14(d)

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Table of Contents

Part I - Partial Differential Equations in Finance
• Introduction
• Basic Options
• Exotic Options
• Interest Rate Derivative Securities
• Part II - Numerical Methods for Derivative Securities
• Basic Numerical Methods
• Initial-Boundary Value and LC Problems
• Free Boundary Problems
• Interest Rate Modeling
• References
• Index

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