Derivative securities and difference methods
著者
書誌事項
Derivative securities and difference methods
（Springer finance, Textbook）
Springer, c2004
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注記
Includes bibliographical references (p. [503]-507) and index
内容説明・目次
内容説明
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.
目次
- 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.
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