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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 th...

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Main Authors: Zhu, You-lan. (Author, http://id.loc.gov/vocabulary/relators/aut), Wu, Xiaonan. (http://id.loc.gov/vocabulary/relators/aut), Chern, I-Liang. (http://id.loc.gov/vocabulary/relators/aut), Sun, Zhi-zhong. (http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: New York, NY : Springer New York : Imprint: Springer, 2013.
Edition:2nd ed. 2013.
Series:Springer Finance,
Subjects:
Economics, Mathematical .
Partial differential equations.
Computer mathematics.
Numerical analysis.
Finance.
Quantitative Finance.
Partial Differential Equations.
Computational Mathematics and Numerical Analysis.
Numerical Analysis.
Finance, general.
Online Access:https://doi.org/10.1007/978-1-4614-7306-0
Table of Contents:
  • 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.

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