Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach

Description

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

Disclaimer:
Contents of this page are indexed from the Internet. All actions are under your responsability. Email us to report illegal contents or external links and we'll remove them immediately.

Please check the description for download links if any or do a search to find alternative books.

Can't Download?
Please search mirrors if you can't find download links for "Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach" in "Description" and someone else may update the links. Check the comments when back to find any updates.

Search Mirrors
Maybe some mirror pages will be helpful, search this book at top of this page or click here to find more info.

1. Ebooks list page : 2194
2. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
3. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
4. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
5. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
6. Finite Difference and Spectral Methods for Ordinary and Partial Differential Equations
7. Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-Dependent Problems
8. Finite Difference Methods in Financial Engineering
9. Finite Difference Schemes and Partial Differential Equations
10. Applied Partial Differential Equation: A Visual Approach
11. P. Markowich - Applied Partial Differential Equation: A Visual Approach
12. P. Markowich - Applied Partial Differential Equation: A Visual Approach
13. Finite Difference and Spectral Methods for Ordinary and Partial
14. Finite Difference and Spectral Methods for Ordinary and Partial
15. Finite Difference and Spectral Methods for Ordinary and Partial
16. Partial Differential Equation Methods in Control and Shape Analysis