Derivative Securities and Difference Methods

by You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun

Overview

This book explains how to establish appropriate partial differential equation boundary value problems for different sets of derivative products, and analyzes the application of finite differences techniques to a set of stated financial models.

Product Details

ISBN-13:	9781461473060
Publisher:	Springer-Verlag New York, LLC
Publication date:	07/04/2013
Series:	Springer Finance
Sold by:	Barnes & Noble
Format:	eBook
Pages:	647
File size:	13 MB
Note:	This product may take a few minutes to download.

About the Author

You-Lan Zhu is a Professor of Mathematics at the University of North Carolina at Charlotte. Xiaonan Wu is a Professor of Mathematics at Hong Kong Baptist University. I-Liang Chern is a Professor of Mathematics at National Taiwan University. Zhi-zhong Sun is a Professor of Mathematics at Southeast University.

Table of Contents

Introduction.- European Style Derivatives.- American Style Derivatives.- Exotic Options.- Interest Rate Derivative Securities.- Basic Numerical Methods.- Finite Difference Methods.- Initial-Boundary Value and LC Problems.- Free-Boundary Problems.- Interest Rate Modeling.

Editorial Reviews

It is mainly devoted to finite difference methods, and it is intended for researchers as well as graduate students. It is the most complete and useful book on the subject I have seen. … Derivative Securities and Difference Methods is a really good book that anyone studying or working in this field should own.” (Anita Mayo, SIAM Review, Vol. 57 (1), March, 2015)

"This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. … The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter." (Elias Shiu, Zentralblatt MATH, Vol. 1061 (12), 2005)

"This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities... the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." — MATHEMATICAL REVIEWS

From the Publisher