Derivative Securities and Difference Methods

• Main Authors: Zhu, You-lan (Author), Wu, Xiaonan (Author), Chern, I-Liang (Author), Sun, Zhi-zhong (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2013.
• Edition: 2nd ed. 2013.
• Series: Springer Finance,
• Subjects: Mathematics.; Finance.; Partial differential equations.; Economics, Mathematical.; Computer mathematics.; Numerical analysis.; Quantitative Finance.; Partial Differential Equations.; Computational Mathematics and Numerical Analysis.; Numerical Analysis.; Finance, general.

This book is mainly devoted to finite difference numerical methods for solving partial differential equation (PDE) models of pricing a wide variety of financial derivative securities. With this objective, the book is divided into two main parts. In the first part, after an introduction concerning th...