عنوان

Derivative Securities and Difference Method

شابک

9781461473060

کد کشور

IR

شماره

EN-52426

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

کشور محل نشر

IR

عنوان اصلي

Derivative Securities and Difference Method

نام عام مواد

[Book]

ساير اطلاعات عنواني

:[delta

نام نخستين پديدآور

/ by You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun

وضعيت ويراست

2nd ed. 2013.

محل نشرو پخش و غیره

New York, NY

نام ناشر، پخش کننده و غيره

: Springer New York :Imprint: Springer,

تاریخ نشرو بخش و غیره

, 2013.

نام خاص و کميت اثر

XXII, 647 p. 92 illus., online resource.

عنوان فروست

(Springer Finance,1616-0533)

متن يادداشت

Electronic

متن يادداشت

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

متن يادداشت

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.?╗╣

عنوان

Springer Finance,1616-0533

موضوع مستند نشده

Mathematics

موضوع مستند نشده

Differential equations, partial

موضوع مستند نشده

Finance

موضوع مستند نشده

Computer science, Mathematics

موضوع مستند نشده

Numerical analysis

موضوع مستند نشده

Electronic books

شماره رده

مستند نام اشخاص تاييد نشده

Zhu, You-lan.

مستند نام اشخاص تاييد نشده

Wu, Xiaonan

مستند نام اشخاص تاييد نشده

Chern, I-Liang

مستند نام اشخاص تاييد نشده

Sun, Zhi-zhong

مستند نام اشخاص تاييد نشده

SpringerLink (Online service)

کشور

ایران

نام ميزبان

9781461473053.pdf

شماره دسترسي

عادی

اطلاعات مختصر

عادی

تاريخ و ساعت مذاکره و دسترسي

9781461473053.pdf

نوع فرمت الکترونيکي

متن

وضعیت فهرست نویسی

old catalog

فرمت انتشار

e

نوع ماده

BL

پیشوند ISBD اعمال شده است

1

سطح دسترسي

a

تكميل شده

Y