Derivative Securities and Difference Methods (Springer Finance) - Softcover

Zhu, You-lan; Wu, Xiaonan; Chern, I-Liang

Softcover

ISBN 10: 1441919252 ISBN 13: 9781441919250

Publisher: Springer, 2011

Synopsis

 

This book provides an overview of the theory of pricing financial derivatives and presents finite difference methods for numerically approximating derivative prices.

About this title

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.

Edition details

• Publisher: Springer
• Publication date: 2011
• Language: English
• ISBN 10: 1441919252
• ISBN 13: 9781441919250
• Binding: Paperback
• Number of pages: 531