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＜E-Book＞
Derivative Securities and Difference Methods / by You-lan Zhu, Xiaonan Wu, I-Liang Chern
(Springer Finance. ISSN:21950687)

Edition	1st ed. 2004.
Publisher	(New York, NY : Springer New York : Imprint: Springer)
Year	2004
Language	English
Size	XVIII, 513 p. 14 illus : online resource
Authors	*Zhu, You-lan author Wu, Xiaonan author Chern, I-Liang author SpringerLink (Online service)
Subjects	LCSH:Social sciences -- Mathematics  All Subject Search LCSH:Mathematics LCSH:Mathematics -- Data processing  All Subject Search LCSH:Numerical analysis FREE:Mathematics in Business, Economics and Finance FREE:Applications of Mathematics FREE:Computational Mathematics and Numerical Analysis FREE:Numerical Analysis
Notes	1 Introduction -- 2 Basic Options -- 3 Exotic Options -- 4 Interest Rate Derivative Securities -- 5 Basic Numerical Methods -- 6 Initial-Boundary Value and LC Problems -- 7 Free-Boundary Problems -- 8 Interest Rate Modeling -- References This book is devoted to determining the prices of financial derivatives using a partial differential equation approach. In the first part the authors describe the formulation of the problems (including related free-boundary problems) and derive the closed form solutions if they have been found. The second part discusses how to obtain their numerical solutions efficiently for both European-style and American-style derivatives and for both stock options and interest rate derivatives. The numerical methods discussed are finite-difference methods. The book also discusses how to determine the coefficients in the partial differential equations. The aim of the book is to provide readers who have some code writing experience for engineering computations with the skills to develop efficient derivative-pricing codes. The book includes exercises throughout and will appeal to students and researchers in quantitative finance as well as practitioners in the financial industry and code developers HTTP:URL=https://doi.org/10.1007/978-1-4757-3938-1

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