Derivative Securities and Difference Methods / Edition 1

Derivative Securities and Difference Methods / Edition 1

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

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ISBN-10: 0387208429

ISBN-13: 9780387208428

Pub. Date: 08/27/2004

Publisher: Springer-Verlag New York, LLC

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

Overview

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.

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)

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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