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- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Keywords
Table of contents (8 chapters)
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Partial Differential Equations in Finance
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Numerical Methods for Derivative Securities
Reviews
From the reviews:
"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... 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
"This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. … The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter." (Elias Shiu, Zentralblatt MATH, Vol. 1061 (12), 2005)
Authors and Affiliations
Bibliographic Information
Book Title: Derivative Securities and Difference Methods
Authors: You-lan Zhu, Xiaonan Wu, I-Liang Chern
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-1-4757-3938-1
Publisher: Springer New York, NY
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eBook Packages: Springer Book Archive
Copyright Information: Springer Science+Business Media New York 2004
Softcover ISBN: 978-1-4419-1925-0Published: 26 May 2011
eBook ISBN: 978-1-4757-3938-1Published: 09 March 2013
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XVIII, 513
Number of Illustrations: 14 b/w illustrations
Topics: Quantitative Finance, Applications of Mathematics, Computational Mathematics and Numerical Analysis, Numerical Analysis