Finite Difference Methods In Financial Engineering 0470858826 rar (0470858826)

Like Book123?! Give us +1

More

?Finite Difference Methods in Financial Engineering: 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

Thanks to the original uploader!

Buy Book at Lowest Price on Amazon

DOWNLOAD FROM RAPIDSHARE:

thanks a lot

Rating:
2.5 out of 5 by Book123

Download Links
Server	Status
Direct Download Link 1	Alive
Direct Download Link 2	Alive
Download Link (HERE)	Alive
Buy This Book at Best Price >>

Like this article?! Give us +1:

	Technical Finite Difference Methods in Financial Engineering Publisher: WileyPublish Date: May 2006ISBN: 0470858826Pages: 440Finite Difference Methods in Financial EngineeringPublisher: WileyLanguage: EnglishISBN: 0470858826Paperback: 440 pagesData: May 2006Format: PDFDescription: The world of quanti ...
	Science/Engineering P. Markowich - Applied Partial Differential Equation: A Visual Approach P. Markowich, "Applied Partial Differential Equation: A Visual Approach"Springer \| ISBN 3540346457 \| Year 2006 \| 206 pages \| PDF \| 16.3 MBThis book presents selected topics in science and engineering from an applied-mathematics point of vie ...
	Science/Engineering Applied Partial Differential Equation: A Visual Approach Publisher: SpringerLanguage: EnglishISBN: 3540346457Paperback: 206 pagesData: 2006Format: PDFDescription: This book presents selected topics in science and engineering from an applied-mathematics point of view. The described natural, socioe ...
	Science/Engineering Finite Difference Schemes and Partial Differential Equations John Strikwerda “Finite Difference Schemes and Partial Differential Equations" SIAM: Society for Industrial and Applied Mathematics \| 2004-11-01 \| ISBN: 0898715679 \| 450 pages \| PDF \| 15 MB This book provides a unified and accessible i ...
	Science/Engineering Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-Dependent Problems Finite Difference Methods for Ordinary and Partial Differential Equations: Steady-State and Time-Dependent Problems (Classics in Applied Mathematics): Randall LevequeSIAM, Society for Industrial and Applied Mathematics \| ISBN: 0898716292 ...
	EBook Torrents Finite Difference and Spectral Methods for Ordinary and Partial

Share this page with your friends now!
Text link
Forum (BBCode)
Website (HTML)

DISCLAIMER:

This site does not store Business Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach on its server. We only index and link to Business Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach provided by other sites. Please contact the content providers to delete Business Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach if any and email us, we'll remove relevant links or contents immediately.

Book123

Categories

Share With Friends

Archive by Date

Search Tag

Newest

Useful Links

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

Related Articles

DISCLAIMER:

Comments (0) All