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Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910831177203321 |
Duffy Daniel J
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910841440403321 |
|
Duffy Daniel J
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott
| Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott |
| Autore | Wilmott Paul |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2009 |
| Descrizione fisica | 1 online resource (624 p.) |
| Disciplina | 332.60151 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Options (Finance) - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-48309-9
9786612483097 0-470-68514-X 0-470-68275-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frequently Asked Questions In Quantitative Finance; Contents; Preface to the Second Edition; Preface to the First Edition; 1 The Quantitative Finance Timeline; 2 FAQs; 3 The Financial Modelers' Manifesto; 4 Essays; 5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them; 6 The Most Popular Probability Distributions and Their Uses in Finance; 7 Twelve Different Ways to Derive Black-Scholes; 8 Models and Equations; 9 The Black-Scholes Formulæ and the Greeks; 10 Common Contracts; 11 Popular Quant Books
12 The Most Popular Search Words and Phrases on Wilmott.com 13 Brainteasers; 14 Paul & Dominic's Guide to Getting a Quant Job; Index |
| Record Nr. | UNINA-9910457344603321 |
|
Wilmott Paul
|
||
| New York, : Wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott
| Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott |
| Autore | Wilmott Paul |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2009 |
| Descrizione fisica | 1 online resource (624 p.) |
| Disciplina | 332.60151 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Options (Finance) - Mathematical models |
| ISBN |
1-282-48309-9
9786612483097 0-470-68514-X 0-470-68275-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frequently Asked Questions In Quantitative Finance; Contents; Preface to the Second Edition; Preface to the First Edition; 1 The Quantitative Finance Timeline; 2 FAQs; 3 The Financial Modelers' Manifesto; 4 Essays; 5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them; 6 The Most Popular Probability Distributions and Their Uses in Finance; 7 Twelve Different Ways to Derive Black-Scholes; 8 Models and Equations; 9 The Black-Scholes Formulæ and the Greeks; 10 Common Contracts; 11 Popular Quant Books
12 The Most Popular Search Words and Phrases on Wilmott.com 13 Brainteasers; 14 Paul & Dominic's Guide to Getting a Quant Job; Index |
| Record Nr. | UNINA-9910781080503321 |
|
Wilmott Paul
|
||
| New York, : Wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott
| Frequently asked questions in quantitative finance [[electronic resource] ] : including key models, important formulae, popular contracts, essays and opinions, a history of quantitative finance, sundry lists, the commonest mistakes in quant finance, brainteasers, plenty of straight-talking, the Modellers ́Manifesto and lots more / / by Paul Wilmott |
| Autore | Wilmott Paul |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2009 |
| Descrizione fisica | 1 online resource (624 p.) |
| Disciplina | 332.60151 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models Options (Finance) - Mathematical models |
| ISBN |
1-282-48309-9
9786612483097 0-470-68514-X 0-470-68275-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Frequently Asked Questions In Quantitative Finance; Contents; Preface to the Second Edition; Preface to the First Edition; 1 The Quantitative Finance Timeline; 2 FAQs; 3 The Financial Modelers' Manifesto; 4 Essays; 5 The Commonest Mistakes in Quantitative Finance: A Dozen Basic Lessons in Commonsense for Quants and Risk Managers and the Traders Who Rely on Them; 6 The Most Popular Probability Distributions and Their Uses in Finance; 7 Twelve Different Ways to Derive Black-Scholes; 8 Models and Equations; 9 The Black-Scholes Formulæ and the Greeks; 10 Common Contracts; 11 Popular Quant Books
12 The Most Popular Search Words and Phrases on Wilmott.com 13 Brainteasers; 14 Paul & Dominic's Guide to Getting a Quant Job; Index |
| Record Nr. | UNINA-9910828351303321 |
|
Wilmott Paul
|
||
| New York, : Wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investimenti, informazione, razionalità / Anna Maria Grazia Variato
| Investimenti, informazione, razionalità / Anna Maria Grazia Variato |
| Autore | VARIATO, Anna Maria Grazia |
| Pubbl/distr/stampa | Milano : Giuffrè, 2004 |
| Descrizione fisica | IX, 386 p. ; 23 cm |
| Disciplina | 332.60151 |
| Collana | Saggi di teoria e politica economica |
| Soggetto topico |
Investimenti - Analisi - Metodi matematici
Teoria dell'informazione - Applicazioni alla finanza |
| ISBN | 88-14-10973-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Record Nr. | UNISA-990002415370203316 |
|
VARIATO, Anna Maria Grazia
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| Milano : Giuffrè, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Mathematical finance and probabily : a discrete introduction / Pablo Koch Medina, Sandro Merino
| Mathematical finance and probabily : a discrete introduction / Pablo Koch Medina, Sandro Merino |
| Autore | MEDINA, Pablo Koch |
| Pubbl/distr/stampa | Base [etc.] : Birkhauser Verlag, c2003 |
| Descrizione fisica | VIII,328 p. ; 24 cm |
| Disciplina | 332.60151 |
| Altri autori (Persone) | MERINO, Sandro |
| Soggetto topico |
Investimenti - Modelli matematici
Investimenti - Analisi - Metodi statistici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005515720203316 |
|
MEDINA, Pablo Koch
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| Base [etc.] : Birkhauser Verlag, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Mathematical methods in investment and finance / editors Giorgio P. Szego and Karl Shell
| Mathematical methods in investment and finance / editors Giorgio P. Szego and Karl Shell |
| Pubbl/distr/stampa | Amsterdam; London : [s. n.], 1972 |
| Descrizione fisica | X, 665 p. ; 23 cm |
| Disciplina | 332.60151 |
| ISBN | 0720430674 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNIPARTHENOPE-000024664 |
| Amsterdam; London : [s. n.], 1972 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Parthenope | ||
| ||
Mathematics for finance : an introduction to financial engineering / Marek Capinski and Tomasz Zastawniak
| Mathematics for finance : an introduction to financial engineering / Marek Capinski and Tomasz Zastawniak |
| Autore | CAPINSKI, Marek |
| Pubbl/distr/stampa | London : Springer, 2002 |
| Descrizione fisica | X, 310 p. : 75 figures ; 23 cm |
| Disciplina | 332.60151 |
| Altri autori (Persone) | ZASTAWNIAK, Tomasz |
| Collana | Springer Undergraduate Mathematics series |
| Soggetto topico |
Investimenti - Modelli matematici
Finanza - Modelli matematici |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005508610203316 |
|
CAPINSKI, Marek
|
||
| London : Springer, 2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Mathematics for finance : an introduction to financial engineering / Marek Capinski and Tomasz Zastawniak
| Mathematics for finance : an introduction to financial engineering / Marek Capinski and Tomasz Zastawniak |
| Autore | Capinski, Marek |
| Pubbl/distr/stampa | London : Springer, c2003 |
| Descrizione fisica | x, 310 p. : ill. ; 24 cm |
| Disciplina | 332.60151 |
| Altri autori (Persone) | Zastawniak, Tomaszauthor |
| Collana | Springer undergraduate mathematics series, 1615-2085 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematics Business mathematics |
| ISBN | 1852333308 |
| Classificazione |
AMS 91-01
LC HG106.C36 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000623159707536 |
|
Capinski, Marek
|
||
| London : Springer, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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