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Synopsis
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.
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From the Back Cover
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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Derivative Securities and Difference Methods.
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New York, Springer Science., 2004
ISBN 10: 0387208429
ISBN 13: 9780387208428
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92 ills., XVIII, 513 p. Hardcover. Versand aus Deutschland / We dispatch from Germany via Air Mail. Einband bestoßen, daher Mängelexemplar gestempelt, sonst sehr guter Zustand. Imperfect copy due to slightly bumped cover, apart from this in very good condition. Stamped. Stamped. Springer Finance Textbook. Sprache: Englisch. Seller Inventory # 408EB
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Derivative Securities and Difference Methods (Springer Finance)
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Hardcover. Condition: Very Good. No Jacket. May have limited writing in cover pages. Pages are unmarked. ~ ThriftBooks: Read More, Spend Less 1.9. Seller Inventory # G0387208429I4N00
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Derivative Securities and Difference Methods (Springer Finance)
Published by
Springer (edition 2004 edition), 2004
ISBN 10: 0387208429
ISBN 13: 9780387208428
Used
Hardcover
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Hardcover. Condition: Good. 2004 edition. It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience. Seller Inventory # 0387208429-11-1
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Derivative Securities and Difference Methods (Springer Finance)
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Derivative Securities And Difference Methods
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Derivative Securities And Difference Methods
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Derivative Securities and Difference Methods (Springer Finance)
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