Derivative securities and difference methods | Perpustakaan Universitas Negeri Jakarta

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Derivative securities and difference methods

Zhu, You-lan - Nama Orang; Wu, Xiaonan - Nama Orang; Chern, I-Liang - Nama Orang; Sun, Zhi-zhong - Nama Orang;

This book is mainly devoted to finite difference numerical methods for solving partial differential equations (PDEs) 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 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 in 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.

Ketersediaan

Perpustakaan Pusat E595

E595

Tersedia

Informasi Detail

Judul Seri: Springer Finance
No. Panggil: E595
Penerbit: New York : Springer New York., 2013
Deskripsi Fisik: xxii, 647hlm.
Bahasa: English
ISBN/ISSN: 9781461473060
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: computer
Tipe Pembawa: online resource
Edisi: 2
Subjek: Matematika
Matematika Keuangan
Info Detail Spesifik: -
Pernyataan Tanggungjawab: You-lan Zhu, Xiaonan Wu, I-Liang Chern, Zhi-zhong Sun

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Lampiran Berkas

Derivative securities and difference methods
https://doi.org/10.1007/978-1-4614-7306-0

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