Derivative Securities and Difference Methods - Rilegato

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

 
9780387208428: Derivative Securities and Difference Methods
Rilegato
ISBN 10: 0387208429 ISBN 13: 9780387208428
Casa editrice: Springer Verlag, 2004

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer Verlag
Data di pubblicazione
2004
Lingua
Inglese
ISBN 10 
0387208429
ISBN 13 
9780387208428
Rilegatura
Copertina rigida
Numero di pagine
513
Contatto del produttore
non disponibile
Persona responsabile
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Germania

Altre edizioni note dello stesso titolo

9781441919250: Derivative Securities and Difference Methods

Edizione in evidenza

ISBN 10:  1441919252 ISBN 13:  9781441919250
Casa editrice: Springer, 2011
Brossura