Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
Language: English
Published by John Wiley & Sons Inc, 2006
- Hardcover
- New
Seller: Kennys Bookshop and Art Galleries Ltd., Galway, GY, IrelandKennys Bookshop and Art Galleries Ltd.
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Condition: New
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2006. Hardcover. This is today's most complete and practical guide to finite difference methods and its applications to derivatives. The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in today's global markets. Series: Wiley Finance Series. Num Pages: 440 pages, Illustrations. BIC Classification: KF. Category: (P) Professional & Vocational. Dimension: 259 x 177 x 31. Weight in Grams: 922. . . . . .
Seller Inventory # V9780470858820
- Title
- Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
- Author
- Daniel J. Duffy
- Publisher
- John Wiley & Sons Inc
- Publication year
- 2006
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0470858826
- ISBN 13
- 9780470858820
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.
"Synopsis" may belong to another edition of this title.
About the Author
Daniel Duffy is founder of Datasim Education and Datasim Component Technology, two companies involved in training, consultancy and software development.
"About the title" may belong to another edition of this title.
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