Info
- Utilizzare la checkbox di selezione a fianco di ciascun documento per attivare le funzionalità di stampa, invio email, download nei formati disponibili del (i) record.
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 | ||
| ||
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 | ||
| ||
