Derivative Securities and Difference Methods / Edition 1

Derivative Securities and Difference Methods / Edition 1

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

ISBN-10: 1441919252

ISBN-13: 9781441919250

Pub. Date: 05/26/2011

Publisher: Springer New York

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

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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:
9781441919250
Publisher:
Springer New York
Publication date:
05/26/2011
Series:
Springer Finance Series
Edition description:
Softcover reprint of hardcover 1st ed. 2004
Pages:
513
Product dimensions:
6.10(w) x 9.25(h) x 0.36(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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