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Springer Finance

Derivative Securities and Difference Methods

Authors: Zhu, You-lan, Wu, Xiaonan, Chern, I-Liang

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eBook $109.00
price for USA (gross)
  • ISBN 978-1-4757-3938-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover $149.00
price for USA
  • ISBN 978-1-4419-1925-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

 

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.

Reviews

From the reviews:

"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... the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS

"This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. … The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter." (Elias Shiu, Zentralblatt MATH, Vol. 1061 (12), 2005)


Table of contents (8 chapters)

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-1-4757-3938-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $149.00
price for USA
  • ISBN 978-1-4419-1925-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Derivative Securities and Difference Methods
Authors
Series Title
Springer Finance
Copyright
2004
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4757-3938-1
DOI
10.1007/978-1-4757-3938-1
Softcover ISBN
978-1-4419-1925-0
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XVIII, 513
Number of Illustrations and Tables
14 b/w illustrations
Topics