Derivative Securities and Difference Methods (Record no. 95895)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04374nam a22005775i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-1-4614-7306-0 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220082829.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 130704s2013 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781461473060 |
| -- | 978-1-4614-7306-0 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-1-4614-7306-0 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB135-147 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | KF |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | MAT003000 |
| Source | bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS027000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Zhu, You-lan. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Derivative Securities and Difference Methods |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | 2nd ed. 2013. |
| 264 #1 - | |
| -- | New York, NY : |
| -- | Springer New York : |
| -- | Imprint: Springer, |
| -- | 2013. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XXII, 647 p. 92 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | Springer Finance, |
| International Standard Serial Number | 1616-0533 |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents 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. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 methods of 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 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Differential equations, partial. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Computer science |
| General subdivision | Mathematics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Mathematics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Partial Differential Equations. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Computational Mathematics and Numerical Analysis. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical Analysis. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance/Investment/Banking. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wu, Xiaonan. |
| Relator term | author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Chern, I-Liang. |
| Relator term | author. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Sun, Zhi-zhong. |
| Relator term | author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9781461473053 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Springer Finance, |
| -- | 1616-0533 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-1-4614-7306-0 |
| 912 ## - | |
| -- | ZDB-2-SMA |
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