Finite difference methods in financial engineering : a partial differential equation approach /
"Today's most complete and practical guide to finite difference methods and its applications to derivatives. The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in...
Guardado en:
| Autor principal: | |
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| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
Chichester, England ; Hoboken, NJ :
John Wiley,
c2006.
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| Colección: | Wiley finance series.
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| Materias: | |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
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| 100 | 1 | |a Duffy, Daniel J. | |
| 245 | 1 | 0 | |a Finite difference methods in financial engineering : |b a partial differential equation approach / |c Daniel J. Duffy. |
| 260 | |a Chichester, England ; |a Hoboken, NJ : |b John Wiley, |c c2006. | ||
| 300 | |a xv, 423 p. : |b il. ; |c 25 cm. + |e 1 CD-ROM (4 3/4 plg.). | ||
| 490 | 1 | |a Wiley finance series | |
| 504 | |a Incluye referencias bibliográficas (p. 409-416) e índice. | ||
| 505 | 0 | |a Goals of this book and global overview -- 1. An introduction to ordinary differential equations -- 2. An introduction to partial differential equations -- 3. Second-order parabolic differential equations -- 4. An introduction to the heat equation in one dimension -- 5. An introduction to the method of characteristics -- 6. An introduction to the finite difference method -- 7. An introduction to the method of lines -- 8. General theory of the finite difference method -- 9. Finite difference schemes for first-order partial differential equations -- 10. FDM for the one-dimensional convection-diffusion equation -- 11. Exponentially fitted finite difference schemes -- 12. Exact solutions and explicit finite difference method for one-factor models -- 13. An introduction to the trinomial method -- 14. Exponentially fitted difference schemes for barrier options -- 15. Advanced issues in barrier and lookback option modelling -- 16. The meshless (meshfree) method in financial engineering -- 17. Extending the Black-Scholes model : jump processes -- 18. Finite difference schemes for multidimensional problems -- 19. An introduction to alternating direction implicit and splitting methods -- 20. Advanced operator splitting methods : fractional steps -- 21. Modern splitting methods -- 22. Options with stochastic volatility : the Heston model -- 23. Finite difference methods for Asian options and other 'mixed' problems --24. Multi-asset options -- 25. Finite difference methods for fixed-income problems -- 26. Background to free and moving boundary value problems -- 27. Numerical methods for free boundary value problems : front-fixing methods -- 28. Viscosity solutions and penalty methods for American option problems -- 29. Variational formulation of American option problems -- 30. Finding the appropriate finite difference schemes for your financial engineering problem -- 31. Design and implementation of fist-order problems -- 32. Moving to Black-Scholes -- 33. C++ class hierarchies for one-factor and two-factor payoffs -- App. A1. An introduction to integral and partial integro-differential equations -- App. A2. An introduction to the finite element method. | |
| 500 | |a El CD-ROM que acompaña contiene ... "information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs."--Sitio web del editor. | ||
| 520 | |a "Today's most complete and practical guide to finite difference methods and its applications to derivatives. The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in today's global markets. Finite Difference Methods in Financial Engineering provides a step-by-step description of how robust and accurate numerical methods are motivated and applied to pricing financial derivative products. Focusing on real-world derivative products such as vanilla and exotic options and credit and interest rate derivatives, it details the application of FDM to the partial differential equations that model derivative products in the financial markets and includes a CD containing C++ source code and executable programs." --Descripción del editor. | ||
| 650 | 0 | |a Financial engineering |x Mathematics. | |
| 650 | 0 | |a Derivative securities |x Prices |x Mathematical models. | |
| 650 | 0 | |a Finite differences. | |
| 650 | 0 | |a Differential equations, Partial |x Numerical solutions. | |
| 650 | 7 | |a Ingeniería financiera |x Matemáticas. |2 UDESA | |
| 650 | 7 | |a Derivados financieros |x Precios |x Modelos matemáticos. |2 UDESA | |
| 650 | 7 | |a Diferencias finitas. |2 UDESA | |
| 650 | 7 | |a Ecuaciones diferenciales parciales |x Soluciones numéricas. |2 UDESA | |
| 830 | 0 | |a Wiley finance series. | |