| 书目名称 | Derivative Securities and Difference Methods |
| 编辑 | You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun |
| 视频video | |
| 概述 | New chapters and subsections added.Exercises are included at the end of each chapter.Covers a variety of topics in finance.Includes supplementary material: .Request lecturer material: |
| 丛书名称 | Springer Finance |
| 图书封面 |  |
| 描述 | .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 p |
| 出版日期 | Book 2013Latest edition |
| 关键词 | Asset Price Models; Black-Scholes Equation; Derivative Securities; Free-Boundary Problems; Jump Conditio |
| 版次 | 2 |
| doi | https://doi.org/10.1007/978-1-4614-7306-0 |
| isbn_softcover | 978-1-4899-9093-8 |
| isbn_ebook | 978-1-4614-7306-0Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | Springer Science+Business Media New York 2013 |
发表于 2025-3-21 19:25:04
