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...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autor principal: Duffy, Daniel J.
Formato: Libro
Lenguaje:Inglés
Publicado: Chichester, England ; Hoboken, NJ : John Wiley, c2006.
Colección:Wiley finance series.
Materias:
Financial engineering > Mathematics.
Derivative securities > Prices > Mathematical models.
Finite differences.
Differential equations, Partial > Numerical solutions.
Ingeniería financiera > Matemáticas.
Derivados financieros > Precios > Modelos matemáticos.
Diferencias finitas.
Ecuaciones diferenciales parciales > Soluciones numéricas.
Aporte de:Registro referencial: Solicitar el recurso aquí
Biblioteca Max von Buch (UdeSA) de Universidad de San Andrés
Descripción
Sumario:"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.
Notas: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.
Descripción Física:xv, 423 p. : il. ; 25 cm. + 1 CD-ROM (4 3/4 plg.).
Bibliografía:Incluye referencias bibliográficas (p. 409-416) e índice.
ISBN:0470858826
9780470858820

Ejemplares similares