Derivative Securities and Difference Methods

✍ Scribed by You-lan Zhu, Xiaonan Wu, I-Liang Chern (auth.)

• Publisher: Springer-Verlag New York
• Year: 2004
• Tongue: English
• Leaves: 521
• Series: Springer Finance
• Edition: 1
• Category: Library

✦ Synopsis

This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite-difference methods. The book also discusses how to determine the coefficients in the partial differential equations.

The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop efficient derivative-pricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative finance as well as practitioners in the financial industry and code developers.

✦ Table of Contents

Front Matter....Pages i-xviii
Front Matter....Pages 1-1
Introduction....Pages 3-15
Basic Options....Pages 17-112
Exotic Options....Pages 113-203
Interest Rate Derivative Securities....Pages 205-263
Front Matter....Pages 205-205
Basic Numerical Methods....Pages 267-329
Initial-Boundary Value and LC Problems....Pages 331-404
Free-Boundary Problems....Pages 405-471
Interest Rate Modeling....Pages 473-502
Back Matter....Pages 503-513

✦ Subjects

Quantitative Finance; Applications of Mathematics; Computational Mathematics and Numerical Analysis; Numerical Analysis