Год издания: 2006
Количество страниц: 440
В продаже с 18.01.2012
Как только книга Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series) станет доступна для заказа в одном из интернет-магазинов, Вам на e-mail будет отправлено уведомление.Укажите e-mail для связи:
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)....