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Derivative Securities and Difference Methods

Name: Derivative Securities and Difference Methods
Brand: Springer-Verlag New York Inc.
SKU: 01420824
Price: 113.43 EUR
Availability: InStock
Author: You-lan Zhu
ISBN: 9781441919250

You-lan Zhu

Xiaonan Wu

I-Liang Chern

Language

English

Book Paperback

Libristo code: 01420824

Publishers Springer-Verlag New York Inc., May 2011

This book is devoted to determining the prices of financial derivatives using a partial differential... Full description

Libristo code: 01420824

274 b

113.43 €

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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.