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.
From the reviews:
"This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) models of pricing a wide variety of financial derivative securities... the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS
"This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. ... The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter." (Elias Shiu, Zentralblatt MATH, Vol. 1061 (12), 2005)
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.
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Da: Germania a: Italia
Descrizione libro Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Currently there are no other books covering this topicThere is a need for a book of this type in the rapidly developing area of Computational FinanceCurrently there are no other books covering this topicThere is a need for a. Codice articolo 4172491
Descrizione libro Taschenbuch. Condizione: Neu. Neuware -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. 532 pp. Englisch. Codice articolo 9781441919250
Descrizione libro paperback. Condizione: New. Language: ENG. Codice articolo 9781441919250
Descrizione libro Taschenbuch. Condizione: Neu. Neuware -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. 532 pp. Englisch. Codice articolo 9781441919250
Descrizione libro Taschenbuch. Condizione: Neu. Neuware -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. 532 pp. Englisch. Codice articolo 9781441919250
Descrizione libro Taschenbuch. Condizione: Neu. Neuware -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. 532 pp. Englisch. Codice articolo 9781441919250
Descrizione libro PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo DB-9781441919250
Descrizione libro PAP. Condizione: New. New Book. Shipped from UK. Established seller since 2000. Codice articolo DB-9781441919250
Descrizione libro Taschenbuch. Condizione: Neu. Neuware - 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. Codice articolo 9781441919250
Descrizione libro Condizione: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Codice articolo ria9781441919250_lsuk