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Více informací o knize Derivative Securities and Difference Methods

• Parametry knihy
• Anotace
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Anotace knihy

This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite-difference methods. The book also discusses how to determine the coefficients in the partial differential equations.§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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Calculus & mathematical analysis

• Plný název: Derivative Securities and Difference Methods
• Autor: You-lan Zhu, Xiaonan Wu, I-Liang Chern
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 513
• EAN: 9781441919250
• ISBN: 1441919252
• ID: 01420824
• Nakladatelství: Springer-Verlag New York Inc.
• Hmotnost: 816 g
• Rozměry: 235 × 155 × 29 mm
• Datum vydání: 14. May 2011

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