Description

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.

Derivative Securities and Difference Methods

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Paperback / softback by You-lan Zhu , Xiaonan Wu

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This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a... Read more

    Publisher: Springer-Verlag New York Inc.
    Publication Date: 26/05/2011
    ISBN13: 9781441919250, 978-1441919250
    ISBN10: 1441919252

    Number of Pages: 513

    Non Fiction , Mathematics & Science , Education

    Description

    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.

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