Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach Wiley Finance (Gebundene Ausgabe) first-order hyperbolic equations CONTINUOUS THEORY OF PARTIAL DIFFERENTIAL EQUATIONS Wirtschaft Betriebswirtschaft Management

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Lingua: inglese

Editore: Wiley& Sons Auflage: Har/Cdr (23. Mai 2006), 2006

0470858826 / 9780470858820

Da: BUCHSERVICE / ANTIQUARIAT Lars Lutzer, Wahlstedt, GermaniaBUCHSERVICE / ANTIQUARIAT Lars Lutzer

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Venditore AbeBooks dal 14 luglio 2011

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EUR 39,95 spedizione 
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Descrizione dell’articolo da parte del venditore

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. Finite Difference Methods in Financial EngineeringA Partial Differential Equation Approach (Wiley Finance) Daniel J. Duffy quantitative finance research derivatives pricing Black-Scholes equation exotic options interest rate partial differential equatio This book proved to be a useful reference for practical implementation of finite-difference methods for PDEs: several one- and multi-factor financial derivatives pricing models, including local volatility models and models with stochastic volatilities. The methods described in the text are stable, accurate and reasonably efficient. Stability of FD methods is obviously of top concern to the author (as it should be to readers as well), and he goes into extensive detail evaluating the stability of various techniques. The writing is clear and consistent, though a "notational" index or glossary would have been helpful, particularly in the early going. The author provides several practical examples, which lends a refreshing degree of concreteness to the book. Author: 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 Datas.…

Titolo
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach Wiley Finance (Gebundene Ausgabe) first-order hyperbolic equations CONTINUOUS THEORY OF PARTIAL DIFFERENTIAL EQUATIONS Wirtschaft Betriebswirtschaft Management
Autore
Daniel J. Duffy
Editore
Wiley& Sons Auflage: Har/Cdr (23. Mai 2006)
Anno di pubblicazione
2006
Condizione
gut
Rilegatura
Hardcover
Lingua
inglese
ISBN 10
0470858826
ISBN 13
9780470858820
Edizione
Auflage: Har/Cdr (23. Mai 2006).
Peso dell'articolo
2000 grammi

BUCHSERVICE / ANTIQUARIAT Lars Lutzer

Wahlstedt, Germania

Venditore con 5 stelle

Venditore AbeBooks dal 14 luglio 2011

Tariffe di spedizione da Germania a U.S.A.

ArticoloDa 9 a 29 giorni lavorativiDa 8 a 19 giorni lavorativi
Primo articoloEUR 39,95EUR 49,95
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BUCHSERVICE / ANTIQUARIAT Lars Lutzer

Germania

Informazione legale :
Servizio Antiquario Lars Lutzer - Imprenditore individuale - Indirizzo: Lars Lutzer -Alte Landstr. 39- 23812 Wahlstedt Deutschland /Germany /Germania - TEL: +49 (0) 176 / 63887918 - Email: L.Lutzer(at)LLU-Buchservice(punto)de, UID / VAT / IVA: DE277819159.