Finite difference methods in financial engineering: a partial differential equation approach Duffy, Daniel J.

By: Duffy, Daniel J
Material type: TextTextPublisher: England John Wiley and Sons 2006Description: xv, 423 p. With CD at Acc. No. CD1798ISBN: 9780470858820Subject(s): Financial engineering - Mathematics | Derivative securities - Prices - Mathematical models | Finite differencesDDC classification: 332.0151562 Summary: 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. (http://as.wiley.com/WileyCDA/WileyTitle/productCd-0470858826.html)
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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. (http://as.wiley.com/WileyCDA/WileyTitle/productCd-0470858826.html)

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