This book provides an overview of the theory of pricing financial derivatives and presents finite difference methods for numerically approximating derivative prices.

Klappentext

This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.

Inhalt

Part I - Partial Differential Equations in Finance Introduction Basic Options Exotic Options Interest Rate Derivative Securities Part II - Numerical Methods for Derivative Securities Basic Numerical Methods Initial-Boundary Value and LC Problems Free Boundary Problems Interest Rate Modeling References * Index