Derivative Securities and Difference Methods
Author | : You-lan Zhu |
Publisher | : Springer Science & Business Media |
Total Pages | : 536 |
Release | : 2004-08-27 |
ISBN-10 | : 0387208429 |
ISBN-13 | : 9780387208428 |
Rating | : 4/5 (29 Downloads) |
Download or read book Derivative Securities and Difference Methods written by You-lan Zhu and published by Springer Science & Business Media. This book was released on 2004-08-27 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.