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Titlebook: Derivative Securities and Difference Methods; You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun Book 2013Latest edition Springer Science+Business Media

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發(fā)表于 2025-3-21 19:25:04 | 只看該作者 |倒序瀏覽 |閱讀模式
書目名稱Derivative Securities and Difference Methods
編輯You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun
視頻videohttp://file.papertrans.cn/269/268127/268127.mp4
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:
叢書名稱Springer Finance
圖書封面Titlebook: Derivative Securities and Difference Methods;  You-lan Zhu,Xiaonan Wu,Zhi-zhong Sun Book 2013Latest edition Springer Science+Business Media
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
關(guān)鍵詞Asset Price Models; Black-Scholes Equation; Derivative Securities; Free-Boundary Problems; Jump Conditio
版次2
doihttps://doi.org/10.1007/978-1-4614-7306-0
isbn_softcover978-1-4899-9093-8
isbn_ebook978-1-4614-7306-0Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer Science+Business Media New York 2013
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https://doi.org/10.1007/978-3-642-78871-0. 2 and 3. An exotic option is an option that is not a vanilla put or call. It usually is traded between companies and banks and not quoted on an exchange. In this case, we usually say that it is traded in the over-the-counter market.
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https://doi.org/10.1007/978-1-4614-7306-0Asset Price Models; Black-Scholes Equation; Derivative Securities; Free-Boundary Problems; Jump Conditio
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https://doi.org/10.1007/978-3-642-78871-0In this chapter, we deal with finite-difference methods for parabolic partial differential equations, including algorithms, stability and convergence analysis, and extrapolation techniques of numerical solutions.
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