Derivative Securities and Difference Methods
Language: English
Published by Springer New York, 2015
Series: Book 46 of 53 - Springer Finance
- Softcover
- New
Seller: moluna, Greven, Germanymoluna
AbeBooks seller since July 9, 2020
Condition: New
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Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. New chapters and subsections added Exercises are included at the end of each chapter Covers a variety of topics in financeYou-Lan Zhu is a Professor of Mathematics at the University of North Carolina at Charlotte. Xiaonan .
Seller Inventory # 385696422
- Title
- Derivative Securities and Difference Methods
- Author
- You-lan Zhu|Xiaonan Wu|I-Liang Chern|Zhi-zhong Sun
- Publisher
- Springer New York
- Publication year
- 2015
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 1489990933
- ISBN 13
- 9781489990938
- Series
- Book 46 of 53: Springer Finance
- Seller catalogs
- Importe
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. With this objective, the book is divided into two main parts.
In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems.In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods in financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added.
Review of first edition:
“…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
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