Derivative Securities and Difference Methods
(Sprache: Englisch)
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...
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Klappentext zu „Derivative Securities and Difference Methods “
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.
Inhaltsverzeichnis zu „Derivative Securities and Difference Methods “
Part I - Partial Differential Equations in Finance Introduction Basic Options Exotic Options Interest Rate Derivative Securities Part II - Numerical Methods for Derivative Securities Basic Numerical Methods Initial-Boundary Value and LC Problems Free Boundary Problems Interest Rate Modeling References Index
Bibliographische Angaben
- Autoren: You-lan Zhu , Xiaonan Wu , I-Liang Chern
- 2011, Softcover reprint of hardcover 1st ed. 2004., 513 Seiten, Maße: 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer, New York
- ISBN-10: 1441919252
- ISBN-13: 9781441919250
Sprache:
Englisch
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