LEADER 03744nam  2200517 a 450 
001 9910735384803321
005 20200520144314.0
010   $a1-4614-7306-3
024 7 $a10.1007/978-1-4614-7306-0
035   $a(OCoLC)852473050
035   $a(MiFhGG)GVRL6WIO
035   $a(CKB)2670000000400674
035   $a(MiAaPQ)EBC1317768
035   $a(EXLCZ)992670000000400674
100   $a20130502d2013      uy         0
101 0 $aeng
135   $aurun|---uuuua
181   $ctxt
182   $cc
183   $acr
200 00$aDerivative securities and difference methods /$fYou-lan Zhu ... [et al.]
205   $a2nd ed.
210   $aNew York $cSpringer$d2013
215   $a1 online resource (xxii, 647 pages) $cillustrations (some color)
225  0$aSpringer finance,$x1616-0533
300   $a"ISSN: 1616-0533."
300   $a"ISSN: 2195-0687 (electronic)."
311   $a1-4899-9093-3 
311   $a1-4614-7305-5 
320   $aIncludes bibliographical references and index.
327   $apt. I. Partial differential equations in finance -- pt. II. Numerical methods for derivative securities.
330   $aThis book is mainly devoted to finite difference numerical methods for solving partial differential equation (PDE) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning the basics on derivative securities, the authors explain how to establish the adequate PDE initial/initial-boundary value problems for different sets of derivative products (vanilla and exotic options, and interest rate derivatives). For many option problems, the analytic solutions are also derived with details. The second part is devoted to explaining and analyzing the application of finite differences techniques to the financial models stated in the first part of the book. For this, the authors recall some basics on finite difference methods, initial boundary value problems, and (having in view financial products with early exercise feature) linear complementarity and free boundary problems. In each chapter, the techniques related to these mathematical and numerical subjects are applied to a wide variety of financial products. This is a textbook for graduate students following a mathematical finance program as well as a valuable reference for those researchers working in numerical methods of financial derivatives. For this new edition, the book has been updated throughout with many new problems added. More details about numerical methods for some options, for example, Asian options with discrete sampling, are provided and the proof of solution-uniqueness of derivative security problems and the complete stability analysis of numerical methods for two-dimensional problems are added. Review of first edition: ??the book is highly well designed and structured as a textbook for graduate students following a mathematical finance program, which includes Black-Scholes dynamic hedging methodology to price financial derivatives. Also, it is a very valuable reference for those researchers working in numerical methods in financial derivatives, either with a more financial or mathematical background." -- MATHEMATICAL REVIEWS, 2005 .
410  0$aSpringer finance.
606   $aDerivative securities
606   $aDifference equations
615  0$aDerivative securities.
615  0$aDifference equations.
676   $a332.645701515625
701   $aZhu$b Youlan$0287922
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910735384803321
996   $aDerivative Securities and Difference Methods$93413752
997   $aUNINA