000 04374nam a22005775i 4500
001 978-1-4614-7306-0
003 DE-He213
005 20140220082829.0
007 cr nn 008mamaa
008 130704s2013 xxu| s |||| 0|eng d
020 _a9781461473060
_9978-1-4614-7306-0
024 7 _a10.1007/978-1-4614-7306-0
_2doi
050 4 _aHB135-147
072 7 _aKF
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aBUS027000
_2bisacsh
082 0 4 _a519
_223
100 1 _aZhu, You-lan.
_eauthor.
245 1 0 _aDerivative Securities and Difference Methods
_h[electronic resource] /
_cby You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun.
250 _a2nd ed. 2013.
264 1 _aNew York, NY :
_bSpringer New York :
_bImprint: Springer,
_c2013.
300 _aXXII, 647 p. 92 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aSpringer Finance,
_x1616-0533
505 0 _aIntroduction -- 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 _aThis 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 _aMathematics.
650 0 _aDifferential equations, partial.
650 0 _aFinance.
650 0 _aComputer science
_xMathematics.
650 0 _aNumerical analysis.
650 1 4 _aMathematics.
650 2 4 _aQuantitative Finance.
650 2 4 _aPartial Differential Equations.
650 2 4 _aComputational Mathematics and Numerical Analysis.
650 2 4 _aNumerical Analysis.
650 2 4 _aFinance/Investment/Banking.
700 1 _aWu, Xiaonan.
_eauthor.
700 1 _aChern, I-Liang.
_eauthor.
700 1 _aSun, Zhi-zhong.
_eauthor.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9781461473053
830 0 _aSpringer Finance,
_x1616-0533
856 4 0 _uhttp://dx.doi.org/10.1007/978-1-4614-7306-0
912 _aZDB-2-SMA
999 _c95895
_d95895