Derivative Securities and Difference Methods |
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| Author:
| Wu, Xiaonan
Chern, I-Liang
Zhu, You-Lan |
| Series title: | Springer Finance Ser. |
| ISBN: | 978-0-387-20842-8 |
| Publication Date: | Sep 2004 |
| Publisher: | Springer
|
| Book Format: | Hardback |
| List Price: | USD $149.00 |
Book Description:
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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.