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AuthorZhu, You-lan. author
TitleDerivative Securities and Difference Methods [electronic resource] / by You-lan Zhu, Xiaonan Wu, I-Liang Chern
ImprintNew York, NY : Springer New York : Imprint: Springer, 2004
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Descript XVIII, 513 p. 14 illus. online resource


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


1 Introduction -- 2 Basic Options -- 3 Exotic Options -- 4 Interest Rate Derivative Securities -- 5 Basic Numerical Methods -- 6 Initial-Boundary Value and LC Problems -- 7 Free-Boundary Problems -- 8 Interest Rate Modeling -- References

Mathematics Applied mathematics Engineering mathematics Economics Mathematical Computer mathematics Numerical analysis Mathematics Quantitative Finance Applications of Mathematics Computational Mathematics and Numerical Analysis Numerical Analysis


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