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Détails
| Type d’ouvrage : | Ressource Internet |
|---|---|
| Format : | Livre, Ressource Internet |
| Tous les auteurs / collaborateurs : |
Youlan Zhu; Xiaonan Wu; I-Liang Chern |
| ISBN : | 0387208429 9780387208428 1441919252 9781441919250 |
| Numéro OCLC : | 54686170 |
| Description : | xviii, 513 p. : ill. ; 25 cm. |
| Contenu : | Part I - Partial Differential Equations in Finance * Introduction * Basic Options * Exotic Options * Interest Rate Derivative Securities * Part II - Numerical Methods for Derivative Securities * Basic Numerical Methods * Initial-Boundary Value and LC Problems * Free Boundary Problems * Interest Rate Modeling * References * Index |
| Titre de collection : | Springer finance., Textbook.; Springer finance. |
| Responsabilité : | You-lan Zhu, Xiaonan Wu, and I-Liang Chern. |
| Plus d’informations : |
Critiques
Synopsis de l’éditeur
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) Lire la suite...
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Sujets associés :(14)
- Derivative securities.
- Difference equations.
- Instruments dérivés (Finances)
- Équations aux différences.
- Derivaten (financiën)
- Differentievergelijkingen.
- Partiële differentiaalvergelijkingen.
- Matemática aplicada.
- Finanças.
- Derivativos.
- Opções financeiras.
- Derivat (Wertpapier)
- Differenzengleichung.
- Sicherheit.
