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Derivative securities and difference methods

Author: Youlan Zhu
Publisher: New York : Springer, ©2013.
Series: Springer finance.
Edition/Format:   eBook : Document : English : 2nd edView all editions and formats
Database:WorldCat
Summary:
"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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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Youlan Zhu
ISBN: 9781461473060 1461473063 1461473055 9781461473053
OCLC Number: 852473050
Description: 1 online resource : illustrations.
Contents: 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.
Series Title: Springer finance.
Responsibility: You-lan Zhu [and others].
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Abstract:

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  Read more...

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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 Read more...

 
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