Derivative securities and difference methods.
type: Item
instance of: scholarly article
title: Derivative securities and difference methods.
zbMATH Open document ID: 1061.91036
author: You-lan Zhu
author: Xiaonan Wu
author: I-Liang Chern
published in: Springer Finance
publication date: 2004-10-15T00:00:00Z
review text: This book is devoted to pricing financial derivatives with a partial differential equation approach. It has two parts, each with four chapters. Part I, entitled ``Partial Differential Equation in Finance'', is about problem formulations and closed-form solutions, if such solutions exist. Part II, entitled ``Numerical Methods for Derivative Securities'', is about numerical solutions by finite-difference methods; it also discusses the determination of the coefficients in the partial differential equations. The book covers a variety of topics in finance, such as forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, barrier options, Asian options, lookback options, multi-asset options, interest rate models, interest rate derivatives, swaps, swaptions, caps, floors, and collars. The treatment is mathematically rigorous. There are exercises at the end of each chapter. For the chapters in Part II, computer projects are also given.
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91-08
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35-02
Mathematics Subject Classification ID: 35K99
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 2108367
zbMATH Keywords: partial differential equations
zbMATH Keywords: forward contracts
zbMATH Keywords: futures contracts
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: European options
zbMATH Keywords: American options
zbMATH Keywords: free boundary problems
zbMATH Keywords: barrier options
zbMATH Keywords: Asian options
zbMATH Keywords: lookback options
zbMATH Keywords: multi-asset options
zbMATH Keywords: interest rate models
zbMATH Keywords: interest rate derivatives
zbMATH Keywords: swaps
zbMATH Keywords: swaptions
zbMATH Keywords: caps
zbMATH Keywords: floors
zbMATH Keywords: collars
reviewed by: E. S. W. Shiu
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 2108367