Derivative Securities and Difference Methods by Xiaonan Wu (English) Paperback B

Description: Derivative Securities and Difference Methods by Xiaonan Wu, I-Liang Chern, You-lan Zhu In the past three decades, great progress has been made in the theory and prac tice of financial derivative securities. This book is designed as a textbook for graduate students in a mathematical finance pro gram and as a reference book for the people who already work in this field. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description In the past three decades, great progress has been made in the theory and prac tice of financial derivative securities. Now huge volumes of financial derivative securities are traded on the market every day. This causes a big demand for experts who know how to price financial derivative securities. This book is designed as a textbook for graduate students in a mathematical finance pro gram and as a reference book for the people who already work in this field. We hope that a person who has studied this book and who knows how to write codes for engineering computation can handle the business of providing efficient derivative-pricing codes. In order for this book to be used by various people, the prerequisites to study the majority of this book are multivariable calculus, linear algebra, and basic probability and statistics. In this book, the determination of the prices of financial derivative secu rities is reduced to solving partial differential equation problems, i. e. , a PDE approach is adopted in order to find the price of a derivative security. This book is divided into two parts. In the first part, we discuss how to establish the corresponding partial differential equations and find the final and nec essary boundary conditions for a specific derivative product. If possible, we derive its explicit solution and describe some properties of the solution. In many cases, no explicit solution has been found so far. Notes This book provides an overview of the theory of pricing financial derivatives and presents finite difference methods for numerically approximating derivative prices. Back Cover 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 1 Introduction.- 2 Basic Options.- 3 Exotic Options.- 4 Interest Rate Derivative Securities.- 5 Basic Numerical Methods.- 6 Initial-Boundary Value and LC Problems.- 7 Free-Boundary Problems.- 8 Interest Rate Modeling.- References. Review 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) Promotional Springer Book Archives Long Description In the past three decades, great progress has been made in the theory and prac Review Quote 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) Feature Currently there are no other books covering this topic There is a need for a book of this type in the rapidly developing area of Computational Finance Description for Sales People This book provides an overview of the theory of pricing financial derivatives and presents finite difference methods for numerically approximating derivative prices. Details ISBN1441919252 Author You-lan Zhu Publisher Springer-Verlag New York Inc. Series Springer Finance Year 2011 ISBN-10 1441919252 ISBN-13 9781441919250 Format Paperback Imprint Springer-Verlag New York Inc. Place of Publication New York, NY Country of Publication United States DEWEY 510 Short Title DERIVATIVE SECURITIES & DIFFER Language English Media Book Pages 513 DOI 10.1007/978-1-4757-3938-1 Publication Date 2011-05-26 AU Release Date 2011-05-26 NZ Release Date 2011-05-26 US Release Date 2011-05-26 UK Release Date 2011-05-26 Edition Description Softcover reprint of hardcover 1st ed. 2004 Alternative 9780387208428 Audience Professional & Vocational Illustrations 14 Illustrations, black and white; XVIII, 513 p. 14 illus. We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96288337;

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