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Derivative Securities and Difference Methods You-Ian Zhu

Derivative Securities and Difference Methods By You-Ian Zhu

Derivative Securities and Difference Methods by You-Ian Zhu


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Summary

Studies pricing financial derivatives with a partial differential equation approach. This title covers 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.

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Derivative Securities and Difference Methods Summary

Derivative Securities and Difference Methods by You-Ian Zhu

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.

Derivative Securities and Difference Methods Reviews

From the reviews: 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... the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background. -- MATHEMATICAL REVIEWS This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. ... The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter. (Elias Shiu, Zentralblatt MATH, Vol. 1061 (12), 2005)

Table of Contents

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.

Additional information

CIN0387208429G
9780387208428
0387208429
Derivative Securities and Difference Methods by You-Ian Zhu
Used - Good
Hardback
Springer-Verlag New York Inc.
20040827
536
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in good condition, but if you are not entirely satisfied please get in touch with us

Customer Reviews - Derivative Securities and Difference Methods