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Derivative securities and difference methods

Auteur : Youlan Zhu
Éditeur : New York : Springer, ©2013.
Collection : Springer finance.
Édition/format :   Livre électronique : Document : Anglais : 2nd edVoir toutes les éditions et tous les formats
Base de données :WorldCat
Résumé :
"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."--Jacket.
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Détails

Genre/forme : Electronic books
Type d’ouvrage : Document, Ressource Internet
Format : Ressource Internet, Fichier informatique
Tous les auteurs / collaborateurs : Youlan Zhu
ISBN : 9781461473060 1461473063 1461473055 9781461473053
Numéro OCLC : 852473050
Description : 1 online resource : illustrations.
Contenu : Introduction --
European Style Derivatives --
American Style Derivatives --
Exotic Options --
Interest Rate Derivative Securities --
Basic Numerical Methods --
Finite Difference Methods --
Initial-Boundary Value and LC Problems --
Free-Boundary Problems --
Interest Rate Modeling.
Titre de collection : Springer finance.
Responsabilité : You-lan Zhu [and others].
Plus d’informations :

Résumé :

This book explains how to establish appropriate partial differential equation boundary value problems for different sets of derivative products, and analyzes the application of finite differences  Lire la suite...

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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 Lire la suite...

 
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