ENGLISH

Derivative Securities and Difference Methods

By You-lan Zhu , Xiaonan Wu , I-Liang Chern (auth.)

Book information

Publisher
Springer-Verlag New York
Year
2004
ISBN
978-1-4419-1925-0, 978-1-4757-3938-1
DOI
10.1007/978-1-4757-3938-1
Language
english
Format
PDF
Filesize
13 MB (13790802 bytes)
Series
Springer Finance
Edition
1
Pages
513\521
Orientation
yes
Scanned
yes
Time added
2013-08-01 04:00:00
Quantitative Finance; Applications of Mathematics;

Description

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.

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