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Derivative Securities and Difference Methods

Von:

You-lan Zhu

Xiaonan Wu

I-Liang Chern

Beschreibung

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 typ...

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Beschreibung

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.

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.