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

Currently there are no other books covering this topic There is a need for a book of this type in the rapidly developing area of Computational Finance Includes supplementary material: sn.pub/extras

Autorentext

You-Lan Zhu is a Professor of Mathematics at the University of North Carolina at Charlotte. Xiaonan Wu is a Professor of Mathematics at Hong Kong Baptist University. I-Liang Chern is a Professor of Mathematics at National Taiwan University. Zhi-zhong Sun is a Professor of Mathematics at Southeast University.

Klappentext

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.

Inhalt
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.