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C# for financial markets / / Daniel J. Duffy and Andrea Germani
C# for financial markets / / Daniel J. Duffy and Andrea Germani
Autore Duffy Daniel J
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : John Wiley & Sons, 2013
Descrizione fisica 1 online resource (xxii, 831 pages) : illustrations
Disciplina 332.0285/5133
Collana Wiley finance
Soggetto topico Finance - Mathematical models
Finance - Data processing
C# (Computer program language)
ISBN 1-118-81857-1
1-299-18856-7
1-118-50281-7
1-118-50283-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto C# for Financial Markets; Contents; List of Figures; List of Tables; Introduction; 0.1 What Is This Book?; 0.2 Special Features in This Book; 0.3 Who Is This Book for and What Do You Learn?; 0.4 Structure of This Book; 0.5 C# Source Code; 1 Global Overview of the Book; 1.1 Introduction and Objectives; 1.2 Comparing C# and C++; 1.3 Using This Book; 2 C# Fundamentals; 2.1 Introduction and Objectives; 2.2 Background to C#; 2.3 Value Types, Reference Types and Memory Management; 2.4 Built-in Data Types in C#; 2.5 Character and String Types; 2.6 Operators; 2.7 Console Input and Output
2.8 User-defined Structs2.9 Mini Application: Option Pricing; 2.10 Summary and Conclusions; 2.11 Exercises and Projects; 3 Classes in C#; 3.1 Introduction and Objectives; 3.2 The Structure of a Class: Methods and Data; 3.3 The Keyword 'this'; 3.4 Properties; 3.5 Class Variables and Class Methods; 3.6 Creating and Using Objects in C#; 3.7 Example: European Option Price and Sensitivities; 3.7.1 Supporting Mathematical Functions; 3.7.2 Black-Scholes Formula; 3.7.3 C# Implementation; 3.7.4 Examples and Applications; 3.8 Enumeration Types; 3.9 Extension Methods
3.10 An Introduction to Inheritance in C#3.11 Example: Two-factor Payoff Hierarchies and Interfaces; 3.12 Exception Handling; 3.13 Summary and Conclusions; 3.14 Exercises and Projects; 4 Classes and C# Advanced Features; 4.1 Introduction and Objectives; 4.2 Interfaces; 4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing; 4.3.1 Defining Standard Interfaces; 4.3.2 Bond Models and Stochastic Differential Equations; 4.3.3 Option Pricing and the Visitor Pattern; 4.4 Interfaces in .NET and Some Advanced Features; 4.4.1 Copying Objects; 4.4.2 Interfaces and Properties
4.4.3 Comparing Abstract Classes and Interfaces4.4.4 Explicit Interfaces; 4.4.5 Casting an Object to an Interface; 4.5 Combining Interfaces, Inheritance and Composition; 4.5.1 Design Philosophy: Modular Programming; 4.5.2 A Model Problem and Interfacing; 4.5.3 Implementing the Interfaces; 4.5.4 Examples and Testing; 4.6 Introduction to Delegates and Lambda Functions; 4.6.1 Comparing Delegates and Interfaces; 4.7 Lambda Functions and Anonymous Methods; 4.8 Other Features in C#; 4.8.1 Static Constructors; 4.8.2 Finalisers; 4.8.3 Casting; 4.8.4 The var Keyword; 4.9 Advanced .NET Delegates
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods with Delegates4.9.2 Multicast Delegates; 4.9.3 Generic Delegate Types; 4.9.4 Delegates versus Interfaces, Again; 4.10 The Standard Event Pattern in .NET and the Observer Pattern; 4.11 Summary and Conclusions; 4.12 Exercises and Projects; 5 Data Structures and Collections; 5.1 Introduction and Objectives; 5.2 Arrays; 5.2.1 Rectangular and Jagged Arrays; 5.2.2 Bounds Checking; 5.3 Dates, Times and Time Zones; 5.3.1 Creating and Modifying Dates; 5.3.2 Formatting and Parsing Dates; 5.3.3 Working with Dates
5.4 Enumeration and Iterators
Record Nr. UNINA-9910141502803321
Duffy Daniel J  
Chichester, : John Wiley & Sons, 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
C# for financial markets / / Daniel J. Duffy and Andrea Germani
C# for financial markets / / Daniel J. Duffy and Andrea Germani
Autore Duffy Daniel J
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : John Wiley & Sons, 2013
Descrizione fisica 1 online resource (xxii, 831 pages) : illustrations
Disciplina 332.0285/5133
Collana Wiley finance
Soggetto topico Finance - Mathematical models
Finance - Data processing
C# (Computer program language)
ISBN 1-118-81857-1
1-299-18856-7
1-118-50281-7
1-118-50283-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto C# for Financial Markets; Contents; List of Figures; List of Tables; Introduction; 0.1 What Is This Book?; 0.2 Special Features in This Book; 0.3 Who Is This Book for and What Do You Learn?; 0.4 Structure of This Book; 0.5 C# Source Code; 1 Global Overview of the Book; 1.1 Introduction and Objectives; 1.2 Comparing C# and C++; 1.3 Using This Book; 2 C# Fundamentals; 2.1 Introduction and Objectives; 2.2 Background to C#; 2.3 Value Types, Reference Types and Memory Management; 2.4 Built-in Data Types in C#; 2.5 Character and String Types; 2.6 Operators; 2.7 Console Input and Output
2.8 User-defined Structs2.9 Mini Application: Option Pricing; 2.10 Summary and Conclusions; 2.11 Exercises and Projects; 3 Classes in C#; 3.1 Introduction and Objectives; 3.2 The Structure of a Class: Methods and Data; 3.3 The Keyword 'this'; 3.4 Properties; 3.5 Class Variables and Class Methods; 3.6 Creating and Using Objects in C#; 3.7 Example: European Option Price and Sensitivities; 3.7.1 Supporting Mathematical Functions; 3.7.2 Black-Scholes Formula; 3.7.3 C# Implementation; 3.7.4 Examples and Applications; 3.8 Enumeration Types; 3.9 Extension Methods
3.10 An Introduction to Inheritance in C#3.11 Example: Two-factor Payoff Hierarchies and Interfaces; 3.12 Exception Handling; 3.13 Summary and Conclusions; 3.14 Exercises and Projects; 4 Classes and C# Advanced Features; 4.1 Introduction and Objectives; 4.2 Interfaces; 4.3 Using Interfaces: Vasicek and Cox-Ingersoll-Ross (CIR) Bond and Option Pricing; 4.3.1 Defining Standard Interfaces; 4.3.2 Bond Models and Stochastic Differential Equations; 4.3.3 Option Pricing and the Visitor Pattern; 4.4 Interfaces in .NET and Some Advanced Features; 4.4.1 Copying Objects; 4.4.2 Interfaces and Properties
4.4.3 Comparing Abstract Classes and Interfaces4.4.4 Explicit Interfaces; 4.4.5 Casting an Object to an Interface; 4.5 Combining Interfaces, Inheritance and Composition; 4.5.1 Design Philosophy: Modular Programming; 4.5.2 A Model Problem and Interfacing; 4.5.3 Implementing the Interfaces; 4.5.4 Examples and Testing; 4.6 Introduction to Delegates and Lambda Functions; 4.6.1 Comparing Delegates and Interfaces; 4.7 Lambda Functions and Anonymous Methods; 4.8 Other Features in C#; 4.8.1 Static Constructors; 4.8.2 Finalisers; 4.8.3 Casting; 4.8.4 The var Keyword; 4.9 Advanced .NET Delegates
4.9.1 Provides and Requires Interfaces: Creating Plug-in Methods with Delegates4.9.2 Multicast Delegates; 4.9.3 Generic Delegate Types; 4.9.4 Delegates versus Interfaces, Again; 4.10 The Standard Event Pattern in .NET and the Observer Pattern; 4.11 Summary and Conclusions; 4.12 Exercises and Projects; 5 Data Structures and Collections; 5.1 Introduction and Objectives; 5.2 Arrays; 5.2.1 Rectangular and Jagged Arrays; 5.2.2 Bounds Checking; 5.3 Dates, Times and Time Zones; 5.3.1 Creating and Modifying Dates; 5.3.2 Formatting and Parsing Dates; 5.3.3 Working with Dates
5.4 Enumeration and Iterators
Record Nr. UNINA-9910817063103321
Duffy Daniel J  
Chichester, : John Wiley & Sons, 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Domain architectures [[electronic resource] ] : models and architectures for UML applications / / Daniel J. Duffy
Domain architectures [[electronic resource] ] : models and architectures for UML applications / / Daniel J. Duffy
Autore Duffy Daniel J
Pubbl/distr/stampa West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Descrizione fisica 1 online resource (408 p.)
Disciplina 005.1
Soggetto topico Computer software - Development
Business - Data processing
UML (Computer science)
Soggetto genere / forma Electronic books.
ISBN 1-280-27503-0
9786610275038
0-470-02064-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Domain Architectures; Contents; Preface; PART I Background and fundamentals; 1. Introducing and motivating domain architectures; 1.1 What is this book?; 1.2 Why have we written this book?; 1.3 For whom is this book intended?; 1.4 Why should I read this book?; 1.5 What is a domain architecture, really?; 1.6 The Datasim Development Process (DDP); 1.7 The structure of this book; 1.8 What this book does not cover; 2. Domain architecture catalogue; 2.1 Introduction and objectives; 2.2 Management Information Systems (MIS) (Chapter 5); 2.3 Process Control Systems (PCS) (Chapter 6)
2.4 Resource Allocation and Tracking (RAT) systems (Chapter 7)2.5 Manufacturing (MAN) systems (Chapter 8); 2.6 Access Control Systems (ACS) (Chapter 9); 2.7 Lifecycle and composite models (Chapter 10); 3. Software lifecycle and Datasim Development Process (DDP); 3.1 Introduction and objectives; 3.2 The Software Lifecycle; 3.3 Reducing the scope; 3.4 The requirements/architecture phase in detail; 3.5 The object-oriented analysis process; 3.6 Project cultures and DDP; 3.6.1 Calendar-driven projects; 3.6.2 Requirements-driven projects; 3.6.3 Documentation-driven style; 3.6.4 Quality-driven style
3.6.5 Architecture-driven style 3.6.6 Process-driven style and the DDP; 3.7 Summary and conclusions; 4. Fundamental concepts and documentation issues; 4.1 Introduction and objectives; 4.2 How we document domain architectures; 4.3 Characteristics of ISO 9126 and its relationship with domain architectures; 4.4 Documenting high-level artefacts; 4.5 Goals and core processes; 4.6 System context; 4.7 Stakeholders and viewpoints; 4.7.1 Documenting viewpoints; 4.8 Documenting requirements; 4.9 Defining and documenting use cases; 4.10 Summary and conclusions; Appendix 4.1: A critical look at use cases
PART II Domain architectures (meta models)5. Management Information Systems (MIS); 5.1 Introduction and objectives; 5.2 Background and history; 5.3 Motivational examples; 5.3.1 Simple Digital Watch (SDW); 5.3.2 Instrumentation and control systems; 5.4 General applicability; 5.5 Goals, processes and activities; 5.6 Context diagram and system decomposition; 5.7 Stakeholders, viewpoints and requirements; 5.8 UML classes; 5.9 Use cases; 5.10 Specializations of MIS systems; 5.10.1 Example: Noise control engineering; 5.11 Using MIS systems with other systems; 5.12 Summary and conclusions
6. Process Control Systems (PCS)6.1 Introduction and objectives; 6.2 Background and history; 6.3 Motivational examples; 6.3.1 Simple water level control; 6.3.2 Bioreactor; 6.3.3 Barrier options; 6.4 Reference models for Process Control Systems; 6.4.1 Basic components and variables; 6.4.2 Control engineering fundamentals; 6.5 General applicability; 6.6 Goals, processes and activities; 6.7 Context diagram and system decomposition; 6.7.1 Decomposition strategies; 6.8 Stakeholders, viewpoints and requirements; 6.8.1 Input and output variable completeness; 6.8.2 Robustness criteria; 6.8.3 Timing
6.8.4 Human-Computer Interface (HCI) criteria
Record Nr. UNINA-9910457250903321
Duffy Daniel J  
West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Domain architectures [[electronic resource] ] : models and architectures for UML applications / / Daniel J. Duffy
Domain architectures [[electronic resource] ] : models and architectures for UML applications / / Daniel J. Duffy
Autore Duffy Daniel J
Pubbl/distr/stampa West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Descrizione fisica 1 online resource (408 p.)
Disciplina 005.1
Soggetto topico Computer software - Development
Business - Data processing
UML (Computer science)
ISBN 1-280-27503-0
9786610275038
0-470-02064-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Domain Architectures; Contents; Preface; PART I Background and fundamentals; 1. Introducing and motivating domain architectures; 1.1 What is this book?; 1.2 Why have we written this book?; 1.3 For whom is this book intended?; 1.4 Why should I read this book?; 1.5 What is a domain architecture, really?; 1.6 The Datasim Development Process (DDP); 1.7 The structure of this book; 1.8 What this book does not cover; 2. Domain architecture catalogue; 2.1 Introduction and objectives; 2.2 Management Information Systems (MIS) (Chapter 5); 2.3 Process Control Systems (PCS) (Chapter 6)
2.4 Resource Allocation and Tracking (RAT) systems (Chapter 7)2.5 Manufacturing (MAN) systems (Chapter 8); 2.6 Access Control Systems (ACS) (Chapter 9); 2.7 Lifecycle and composite models (Chapter 10); 3. Software lifecycle and Datasim Development Process (DDP); 3.1 Introduction and objectives; 3.2 The Software Lifecycle; 3.3 Reducing the scope; 3.4 The requirements/architecture phase in detail; 3.5 The object-oriented analysis process; 3.6 Project cultures and DDP; 3.6.1 Calendar-driven projects; 3.6.2 Requirements-driven projects; 3.6.3 Documentation-driven style; 3.6.4 Quality-driven style
3.6.5 Architecture-driven style 3.6.6 Process-driven style and the DDP; 3.7 Summary and conclusions; 4. Fundamental concepts and documentation issues; 4.1 Introduction and objectives; 4.2 How we document domain architectures; 4.3 Characteristics of ISO 9126 and its relationship with domain architectures; 4.4 Documenting high-level artefacts; 4.5 Goals and core processes; 4.6 System context; 4.7 Stakeholders and viewpoints; 4.7.1 Documenting viewpoints; 4.8 Documenting requirements; 4.9 Defining and documenting use cases; 4.10 Summary and conclusions; Appendix 4.1: A critical look at use cases
PART II Domain architectures (meta models)5. Management Information Systems (MIS); 5.1 Introduction and objectives; 5.2 Background and history; 5.3 Motivational examples; 5.3.1 Simple Digital Watch (SDW); 5.3.2 Instrumentation and control systems; 5.4 General applicability; 5.5 Goals, processes and activities; 5.6 Context diagram and system decomposition; 5.7 Stakeholders, viewpoints and requirements; 5.8 UML classes; 5.9 Use cases; 5.10 Specializations of MIS systems; 5.10.1 Example: Noise control engineering; 5.11 Using MIS systems with other systems; 5.12 Summary and conclusions
6. Process Control Systems (PCS)6.1 Introduction and objectives; 6.2 Background and history; 6.3 Motivational examples; 6.3.1 Simple water level control; 6.3.2 Bioreactor; 6.3.3 Barrier options; 6.4 Reference models for Process Control Systems; 6.4.1 Basic components and variables; 6.4.2 Control engineering fundamentals; 6.5 General applicability; 6.6 Goals, processes and activities; 6.7 Context diagram and system decomposition; 6.7.1 Decomposition strategies; 6.8 Stakeholders, viewpoints and requirements; 6.8.1 Input and output variable completeness; 6.8.2 Robustness criteria; 6.8.3 Timing
6.8.4 Human-Computer Interface (HCI) criteria
Record Nr. UNINA-9910784411203321
Duffy Daniel J  
West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Domain architectures : models and architectures for UML applications / / Daniel J. Duffy
Domain architectures : models and architectures for UML applications / / Daniel J. Duffy
Autore Duffy Daniel J
Edizione [1st ed.]
Pubbl/distr/stampa West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Descrizione fisica 1 online resource (408 p.)
Disciplina 005.1
Soggetto topico Computer software - Development
Business - Data processing
UML (Computer science)
ISBN 1-280-27503-0
9786610275038
0-470-02064-4
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Domain Architectures; Contents; Preface; PART I Background and fundamentals; 1. Introducing and motivating domain architectures; 1.1 What is this book?; 1.2 Why have we written this book?; 1.3 For whom is this book intended?; 1.4 Why should I read this book?; 1.5 What is a domain architecture, really?; 1.6 The Datasim Development Process (DDP); 1.7 The structure of this book; 1.8 What this book does not cover; 2. Domain architecture catalogue; 2.1 Introduction and objectives; 2.2 Management Information Systems (MIS) (Chapter 5); 2.3 Process Control Systems (PCS) (Chapter 6)
2.4 Resource Allocation and Tracking (RAT) systems (Chapter 7)2.5 Manufacturing (MAN) systems (Chapter 8); 2.6 Access Control Systems (ACS) (Chapter 9); 2.7 Lifecycle and composite models (Chapter 10); 3. Software lifecycle and Datasim Development Process (DDP); 3.1 Introduction and objectives; 3.2 The Software Lifecycle; 3.3 Reducing the scope; 3.4 The requirements/architecture phase in detail; 3.5 The object-oriented analysis process; 3.6 Project cultures and DDP; 3.6.1 Calendar-driven projects; 3.6.2 Requirements-driven projects; 3.6.3 Documentation-driven style; 3.6.4 Quality-driven style
3.6.5 Architecture-driven style 3.6.6 Process-driven style and the DDP; 3.7 Summary and conclusions; 4. Fundamental concepts and documentation issues; 4.1 Introduction and objectives; 4.2 How we document domain architectures; 4.3 Characteristics of ISO 9126 and its relationship with domain architectures; 4.4 Documenting high-level artefacts; 4.5 Goals and core processes; 4.6 System context; 4.7 Stakeholders and viewpoints; 4.7.1 Documenting viewpoints; 4.8 Documenting requirements; 4.9 Defining and documenting use cases; 4.10 Summary and conclusions; Appendix 4.1: A critical look at use cases
PART II Domain architectures (meta models)5. Management Information Systems (MIS); 5.1 Introduction and objectives; 5.2 Background and history; 5.3 Motivational examples; 5.3.1 Simple Digital Watch (SDW); 5.3.2 Instrumentation and control systems; 5.4 General applicability; 5.5 Goals, processes and activities; 5.6 Context diagram and system decomposition; 5.7 Stakeholders, viewpoints and requirements; 5.8 UML classes; 5.9 Use cases; 5.10 Specializations of MIS systems; 5.10.1 Example: Noise control engineering; 5.11 Using MIS systems with other systems; 5.12 Summary and conclusions
6. Process Control Systems (PCS)6.1 Introduction and objectives; 6.2 Background and history; 6.3 Motivational examples; 6.3.1 Simple water level control; 6.3.2 Bioreactor; 6.3.3 Barrier options; 6.4 Reference models for Process Control Systems; 6.4.1 Basic components and variables; 6.4.2 Control engineering fundamentals; 6.5 General applicability; 6.6 Goals, processes and activities; 6.7 Context diagram and system decomposition; 6.7.1 Decomposition strategies; 6.8 Stakeholders, viewpoints and requirements; 6.8.1 Input and output variable completeness; 6.8.2 Robustness criteria; 6.8.3 Timing
6.8.4 Human-Computer Interface (HCI) criteria
Record Nr. UNINA-9910825314703321
Duffy Daniel J  
West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial instrument pricing using C++ [[electronic resource] /] / Daniel J Duffy
Financial instrument pricing using C++ [[electronic resource] /] / Daniel J Duffy
Autore Duffy Daniel J
Pubbl/distr/stampa Hoboken, NJ, : John Wiley, c2004
Descrizione fisica 1 online resource (434 p.)
Disciplina 332.6/0285/5133
Collana The Wiley Finance Series
Soggetto topico Investments - Mathematical models
Financial engineering
C++ (Computer program language)
Soggetto genere / forma Electronic books.
ISBN 1-118-85647-3
1-280-27497-2
9786610274970
0-470-02048-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Template programming in C++ -- Building block classes -- Ordinary and stochastic differential equations -- Programming the black-scholes environment -- Design patterns -- Design and deployment issues.
Record Nr. UNINA-9910450137303321
Duffy Daniel J  
Hoboken, NJ, : John Wiley, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial instrument pricing using C++ [[electronic resource] /] / Daniel J Duffy
Financial instrument pricing using C++ [[electronic resource] /] / Daniel J Duffy
Autore Duffy Daniel J
Pubbl/distr/stampa Hoboken, NJ, : John Wiley, c2004
Descrizione fisica 1 online resource (434 p.)
Disciplina 332.6/0285/5133
Collana The Wiley Finance Series
Soggetto topico Investments - Mathematical models
Financial engineering
C++ (Computer program language)
ISBN 1-118-85647-3
1-280-27497-2
9786610274970
0-470-02048-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Template programming in C++ -- Building block classes -- Ordinary and stochastic differential equations -- Programming the black-scholes environment -- Design patterns -- Design and deployment issues.
Record Nr. UNINA-9910783105703321
Duffy Daniel J  
Hoboken, NJ, : John Wiley, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial instrument pricing using C++ / / Daniel J Duffy
Financial instrument pricing using C++ / / Daniel J Duffy
Autore Duffy Daniel J
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, NJ, : John Wiley, c2004
Descrizione fisica 1 online resource (434 p.)
Disciplina 332.6/0285/5133
Collana The Wiley Finance Series
Soggetto topico Investments - Mathematical models
Financial engineering
C++ (Computer program language)
ISBN 1-118-85647-3
1-280-27497-2
9786610274970
0-470-02048-2
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Template programming in C++ -- Building block classes -- Ordinary and stochastic differential equations -- Programming the black-scholes environment -- Design patterns -- Design and deployment issues.
Record Nr. UNINA-9910813380303321
Duffy Daniel J  
Hoboken, NJ, : John Wiley, c2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
Soggetto genere / forma Electronic books.
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-9910145039503321
Duffy Daniel J  
Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
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
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