Derivative Securities and Difference Methods
Seiten
2004
Springer-Verlag New York Inc.
978-0-387-20842-8 (ISBN)
Springer-Verlag New York Inc.
978-0-387-20842-8 (ISBN)
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Studies pricing financial derivatives with a partial differential equation approach. This title covers topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors.
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
Part I: Partial Differential Equations in Finance: Introduction; Basic Options; Exotic Options; Interest Rate Derivative Securities.- Part II: Numerical Methods for Derivative Securities: Basic Numerical Methods; Initial-Boundary Value and LC Problems; Free Boundary Problems; Interest Rate Modeling.- References.- Index.
| Erscheint lt. Verlag | 28.9.2004 |
|---|---|
| Reihe/Serie | Springer Finance |
| Zusatzinfo | 1, black & white illustrations |
| Verlagsort | New York, NY |
| Sprache | englisch |
| Maße | 156 x 234 mm |
| Gewicht | 924 g |
| Einbandart | gebunden |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Naturwissenschaften ► Physik / Astronomie | |
| Wirtschaft ► Allgemeines / Lexika | |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| ISBN-10 | 0-387-20842-9 / 0387208429 |
| ISBN-13 | 978-0-387-20842-8 / 9780387208428 |
| Zustand | Neuware |
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