## Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach

### Daniel J. Duffy

4 avg rating
( 6 ratings by Goodreads )

The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method.

In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature:

• Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options
• Early exercise features and approximation using front-fixing, penalty and variational methods
• Modelling stochastic volatility models using Splitting methods
• Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work
• Modelling jumps using Partial Integro Differential Equations (PIDE)
• Free and moving boundary value problems in QF

Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

"synopsis" may belong to another edition of this title.

Daniel Duffy is a numerical analyst who has been working in the IT business since 1979. He has been involved in the analysis, design and implementation of systems using object-oriented, component and (more recently) intelligent agent technologies to large industrial and financial applications. As early as 1993 he was involved in C++ projects for risk management and options applications with a large Dutch bank. His main interest is in finding robust and scalable numerical schemes that approximate the partial differential equations that model financial derivatives products. He has an M.Sc. in the Finite Element Method first-order hyperbolic systems and a Ph.D. in robust finite difference methods for convection-diffusion partial differential equations. Both degrees are from Trinity College, Dublin, Ireland.
Daniel Duffy is founder of Datasim Education and Datasim Component Technology, two companies involved in training, consultancy and software development.

List Price: US\$ 132.00
US\$ 70.94

Shipping: US\$ 11.92
From United Kingdom to U.S.A.

Destination, Rates & Speeds

## 1.Finite Difference Methods in Financial Engineering

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Quantity Available: 4
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating

Book Description John Wiley and#38; Sons, 2006. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # FW-9780470858820

US\$ 70.94
Convert Currency
Shipping: US\$ 11.92
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 2.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (Hardback)

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover First Edition Quantity Available: 1
Seller:
The Book Depository US
(London, United Kingdom)
Rating

Book Description John Wiley and Sons Ltd, United Kingdom, 2006. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970 s we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor optionsEarly exercise features and approximation using front-fixing, penalty and variational methodsModelling stochastic volatility models using Splitting methodsCritique of ADI and Crank-Nicolson schemes; when they work and when they don t workModelling jumps using Partial Integro Differential Equations (PIDE)Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs. Bookseller Inventory # AAH9780470858820

US\$ 83.59
Convert Currency
Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 3.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (Hardback)

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover First Edition Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating

Book Description John Wiley and Sons Ltd, United Kingdom, 2006. Hardback. Book Condition: New. 1. Auflage. Language: English . Brand New Book. The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970 s we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor optionsEarly exercise features and approximation using front-fixing, penalty and variational methodsModelling stochastic volatility models using Splitting methodsCritique of ADI and Crank-Nicolson schemes; when they work and when they don t workModelling jumps using Partial Integro Differential Equations (PIDE)Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs. Bookseller Inventory # AAH9780470858820

US\$ 86.26
Convert Currency
Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 4.Finite Difference Methods in Financial Engineering

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover Quantity Available: > 20
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating

Book Description Wiley 2006-03-31, Chichester, 2006. hardback. Book Condition: New. Bookseller Inventory # 9780470858820

US\$ 79.10
Convert Currency
Shipping: US\$ 7.95
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 5.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach [With CDROM]

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Paperback Quantity Available: 1
Print on Demand
Seller:
Ria Christie Collections
(Uxbridge, United Kingdom)
Rating

Book Description John Wiley & Sons, 2016. Paperback. Book Condition: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Bookseller Inventory # ria9780470858820_lsuk

US\$ 89.32
Convert Currency
Shipping: US\$ 5.14
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 6.Finite Difference Methods in Financial Engineering

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Quantity Available: > 20
Print on Demand
Seller:
Pbshop
(Wood Dale, IL, U.S.A.)
Rating

Book Description John Wiley and#38; Sons, 2006. HRD. Book Condition: New. New Book.Shipped from US within 10 to 14 business days.THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Bookseller Inventory # IP-9780470858820

US\$ 94.57
Convert Currency
Shipping: US\$ 3.99
Within U.S.A.
Destination, Rates & Speeds

## 7.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover Quantity Available: 1
Seller:
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating

Book Description John Wiley & Sons. Hardcover. Book Condition: New. New copy - Usually dispatched within 2 working days. Bookseller Inventory # B9780470858820

US\$ 91.60
Convert Currency
Shipping: US\$ 9.19
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 8.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover Quantity Available: > 20
Print on Demand
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating

Book Description Wiley, 2017. Hardcover. Book Condition: New. Never used! This item is printed on demand. Bookseller Inventory # 0470858826

US\$ 107.01
Convert Currency
Shipping: US\$ 1.99
Within U.S.A.
Destination, Rates & Speeds

## 9.Finite Difference Methods in Financial Engineering

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Quantity Available: > 20
Print on Demand
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating

Book Description John Wiley and#38; Sons, 2006. HRD. Book Condition: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND.Established seller since 2000. Bookseller Inventory # IP-9780470858820

US\$ 100.67
Convert Currency
Shipping: US\$ 11.92
From United Kingdom to U.S.A.
Destination, Rates & Speeds

## 10.Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach

ISBN 10: 0470858826 ISBN 13: 9780470858820
New Hardcover Quantity Available: 1
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating

Book Description 2006. Hardback. Book Condition: NEW. 9780470858820 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE0745339