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Derivative Securities and Difference Methods

  • You-lan Zhu
  • Xiaonan Wu
  • I-Liang Chern

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Partial Differential Equations in Finance

    1. Front Matter
      Pages 1-1
    2. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 3-15
    3. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 17-112
    4. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 113-203
    5. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 205-263
  3. Numerical Methods for Derivative Securities

    1. Front Matter
      Pages 205-205
    2. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 267-329
    3. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 331-404
    4. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 405-471
    5. You-lan Zhu, Xiaonan Wu, I-Liang Chern
      Pages 473-502
  4. Back Matter
    Pages 503-513

About this book

Introduction

 

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.

Keywords

Derivative Securities Finance Futures Lookback options Options Swaps

Authors and affiliations

  • You-lan Zhu
    • 1
  • Xiaonan Wu
    • 2
  • I-Liang Chern
    • 3
  1. 1.Department of MathematicsUniversity of North Carolina at CharlotteCharlotteUSA
  2. 2.Department of MathematicsHong Kong Baptist UniversityKowloon Tong, Hong KongChina
  3. 3.Department of MathematicsNational Taiwan UniversityTaipei, TaiwanChina

Bibliographic information

  • DOI https://doi.org/10.1007/978-1-4757-3938-1
  • Copyright Information Springer-Verlag New York 2004
  • Publisher Name Springer, New York, NY
  • eBook Packages Springer Book Archive
  • Print ISBN 978-1-4419-1925-0
  • Online ISBN 978-1-4757-3938-1
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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