Derivative Securities and Difference Methods. 2nd ed. 2013
- 種類:
- 電子ブック
- 責任表示:
- by You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun
- 出版情報:
- New York, NY : Springer New York : Imprint: Springer, 2013
- 著者名:
- シリーズ名:
- Springer Finance ;
- ISBN:
- 9781461473060 [1461473063]
- 注記:
- This book is mainly devoted to finite difference numerical methods for solving partial differential equation (PDE) 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 initial/initial-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 te
- ローカル注記:
- 学内専用E-BOOKS (local access only)
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Springer International Publishing : Imprint: Springer |
