Derivative Securities and Difference Methods
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 explainin…
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Produktdetails
Weitere Autoren: Sun, Zhi-Zhong / Wu, Xiaonan / Zhu, You-Lan
- ISBN: 978-1-4614-7305-3
- EAN: 9781461473053
- Produktnummer: 14766624
- Verlag: Springer New York
- Sprache: Englisch
- Erscheinungsjahr: 2013
- Seitenangabe: 672 S.
- Masse: H24.1 cm x B15.9 cm x D4.3 cm 1'123 g
- Auflage: 2nd ed. 2013
- Abbildungen: HC gerader Rücken kaschiert
- Gewicht: 1123
Über den Autor
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.
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