ISBN: 9781118856482
ID: 9781118856482
A Partial Differential Equation Approach The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970`s we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: \* Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options \* Early exercise features and approximation using front-fixing, penalty and variational methods \* Modelling stochastic volatility models using Splitting methods \* Critique of ADI and Crank-Nicolson schemes when they work and when they don`t work \* Modelling jumps using Partial Integro Differential Equations (PIDE) \* Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs. Finite Difference Methods in Financial Engineering: The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970`s we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: \* Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options \* Early exercise features and approximation using front-fixing, penalty and variational methods \* Modelling stochastic volatility models using Splitting methods \* Critique of ADI and Crank-Nicolson schemes when they work and when they don`t work \* Modelling jumps using Partial Integro Differential Equations (PIDE) \* Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs. Financial engineering, John Wiley & Sons
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ISBN: 9781118856482
ID: 9781118856482
A Partial Differential Equation Approach The world of quantitative finance (QF) is one of the fastestgrowing areas of research and its practical applications toderivatives pricing problem. Since the discovery of the famousBlack-Scholes equation in the 1970`s we have seen a surge in thenumber of models for a wide range of products such as plain andexotic options, interest rate derivatives, real options and manyothers. Gone are the days when it was possible to price thesederivatives analytically. For most problems we must resort to somekind of approximate method. In this book we employ partial differential equations (PDE) todescribe a range of one-factor and multi-factor derivativesproducts such as plain European and American options, multi-assetoptions, Asian options, interest rate options and real options. PDEtechniques allow us to create a framework for modeling complex andinteresting derivatives products. Having defined the PDE problem wethen approximate it using the Finite Difference Method (FDM). Thismethod has been used for many application areas such as fluiddynamics, heat transfer, semiconductor simulation and astrophysics,to name just a few. In this book we apply the same techniques topricing real-life derivative products. We use both traditional (orwell-known) methods as well as a number of advanced schemes thatare making their way into the QF literature: \* Crank-Nicolson, exponentially fitted and higher-order schemesfor one-factor and multi-factor options \* Early exercise features and approximation using front-fixing,penalty and variational methods \* Modelling stochastic volatility models using Splittingmethods \* Critique of ADI and Crank-Nicolson schemes when they work andwhen they don`t work \* Modelling jumps using Partial Integro Differential Equations(PIDE) \* Free and moving boundary value problems in QF Included with the book is a CD containing information on how toset up FDM algorithms, how to map these algorithms to C++ as wellas several working programs for one-factor and two-factor models.We also provide source code so that you can customize theapplications to suit your own needs. Finite Difference Methods in Financial Engineering: The world of quantitative finance (QF) is one of the fastestgrowing areas of research and its practical applications toderivatives pricing problem. Since the discovery of the famousBlack-Scholes equation in the 1970`s we have seen a surge in thenumber of models for a wide range of products such as plain andexotic options, interest rate derivatives, real options and manyothers. Gone are the days when it was possible to price thesederivatives analytically. For most problems we must resort to somekind of approximate method. In this book we employ partial differential equations (PDE) todescribe a range of one-factor and multi-factor derivativesproducts such as plain European and American options, multi-assetoptions, Asian options, interest rate options and real options. PDEtechniques allow us to create a framework for modeling complex andinteresting derivatives products. Having defined the PDE problem wethen approximate it using the Finite Difference Method (FDM). Thismethod has been used for many application areas such as fluiddynamics, heat transfer, semiconductor simulation and astrophysics,to name just a few. In this book we apply the same techniques topricing real-life derivative products. We use both traditional (orwell-known) methods as well as a number of advanced schemes thatare making their way into the QF literature: \* Crank-Nicolson, exponentially fitted and higher-order schemesfor one-factor and multi-factor options \* Early exercise features and approximation using front-fixing,penalty and variational methods \* Modelling stochastic volatility models using Splittingmethods \* Critique of ADI and Crank-Nicolson schemes when they work andwhen they don`t work \* Modelling jumps using Partial Integro Differential Equations(PIDE) \* Free and moving boundary value problems in QF Included with the book is a CD containing information on how toset up FDM algorithms, how to map these algorithms to C++ as wellas several working programs for one-factor and two-factor models.We also provide source code so that you can customize theapplications to suit your own needs. Finance & Investments Financial engineering Finanz- u. Anlagewesen, John Wiley & Sons
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ISBN: 9781118856482
ID: 100659781118856482
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort t The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor an Finance, Finance & Investing, Finite Difference Methods in Financial Engineering~~ Daniel J. Duffy~~Finance~~Finance & Investing~~9781118856482, en, Finite Difference Methods in Financial Engineering, Daniel J. Duffy, 9781118856482, Wiley, 10/28/2013, , , , Wiley, 10/28/2013
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Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach - used book
1970, ISBN: 9781118856482
ID: 9781118856482
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor optionsEarly exercise features and approximation using front-fixing, penalty and variational methodsModelling stochastic volatility models using Splitting methodsCritique of ADI and Crank-Nicolson schemes; when they work and when they don't workModelling jumps using Partial Integro Differential Equations (PIDE)Free and moving boundary value problems in QFIncluded with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as EBooks, Books~~Business & Economics~~Finance~~General, Finite-Difference-Methods-in-Financial-Engineering~~Daniel-J-Duffy, 999999999, Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach, Daniel J. Duffy, 1118856481, Wiley, , , , , Wiley
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2013, ISBN: 9781118856482
ID: 18251381
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are. The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We USE both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-facto. eBooks, Business, Finance & Law~~Finance & Accounting~~Finance, Finite Difference Methods In Financial Engineering~~EBook~~9781118856482~~Daniel J Duffy, , Finite Difference Methods In Financial Engineering, Daniel J Duffy, 9781118856482, Wiley, 10/28/2013, , , , Wiley
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Title: | Finite Difference Methods in Financial Engineering |
ISBN: | 9781118856482 |
Details of the book - Finite Difference Methods in Financial Engineering
EAN (ISBN-13): 9781118856482
ISBN (ISBN-10): 1118856481
Publishing year: 2013
Publisher: Wiley, J
464 Pages
Language: eng/Englisch
Book in our database since 11.04.2012 22:01:10
Book found last time on 21.09.2016 15:38:49
ISBN/EAN: 9781118856482
ISBN - alternate spelling:
1-118-85648-1, 978-1-118-85648-2
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