Derivative Securities and Difference Methods

You-Ian Zhu, Xiaonan Wu, I-Liang Chern - Collection Springer Finance

513 pages, parution le 08/10/2004

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Résumé

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.

Sommaire

Partial Differential Equations in Finance
- Introduction
- Basic Options
- Exotic Options
- Interest Rate Derivative Securities
Numerical Methods for Derivative Securities
- Basic Numerical Methods
- Initial-Boundary Value and LC Problems
- Free-Boundary Problems
- Interest Rate Modelling

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	You-Ian Zhu, Xiaonan Wu, I-Liang Chern
Collection	Springer Finance
Parution	08/10/2004
Nb. de pages	513
Format	16 x 24
Couverture	Relié
Poids	864g
Intérieur	Noir et Blanc
EAN13	9780387208428
ISBN13	978-0-387-20842-8