INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
9781461473060
NATIONAL BIBLIOGRAPHY NUMBER
Country Code
IR
Number
EN-52426
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
COUNTRY OF PUBLICATION OR PRODUCTlON
Country of publication
IR
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Derivative Securities and Difference Method
General Material Designation
[Book]
Other Title Information
:[delta
First Statement of Responsibility
/ by You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun
EDITION STATEMENT
Edition Statement
2nd ed. 2013.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
New York, NY
Name of Publisher, Distributor, etc.
: Springer New York :Imprint: Springer,
Date of Publication, Distribution, etc.
, 2013.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
XXII, 647 p. 92 illus., online resource.
SERIES
Series Title
(Springer Finance,1616-0533)
NOTES PERTAINING TO PUBLICATION, DISTRIBUTION, ETC.
Text of Note
Electronic
CONTENTS NOTE
Text of Note
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 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 program as well as a valuable reference for those researchers working in numerical methodsof financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: "...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, 2005
Text of Note
Introduction -- European Style Derivatives -- American Style Derivatives -- Exotic Options -- Interest Rate Derivative Securities -- Basic Numerical Methods -- Finite Difference Methods -- Initial-Boundary Value and LC Problems -- Free-Boundary Problems -- Interest Rate Modeling.?╗╣
SERIES
Title
Springer Finance,1616-0533
TOPICAL NAME USED AS SUBJECT
Mathematics
Differential equations, partial
Finance
Computer science, Mathematics
Numerical analysis
Electronic books
LIBRARY OF CONGRESS CLASSIFICATION
Class number
E-BOOK
PERSONAL NAME - PRIMARY RESPONSIBILITY
Zhu, You-lan.
PERSONAL NAME - SECONDARY RESPONSIBILITY
Wu, Xiaonan
Chern, I-Liang
Sun, Zhi-zhong
SpringerLink (Online service)
ORIGINATING SOURCE
Country
ایران
ELECTRONIC LOCATION AND ACCESS
Host name
9781461473053.pdf
Access number
عادی
Compression information
عادی
Date and Hour of Consultation and Access
9781461473053.pdf
Electronic Format Type
متن
old catalog
e
BL
1
a
Y
