Finite Difference Methods in Financial Engineering

A Partial Differential Equation Approach (The Wiley Finance Series)

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March 28, 2025 | History

Finite Difference Methods in Financial Engineering

A Partial Differential Equation Approach (The Wiley Finance Series)

  • 1 Want to read

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). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature: Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options Early exercise features and approximation using front-fixing, penalty and variational methods Modelling stochastic volatility models using Splitting methods Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work Modelling jumps using Partial Integro Differential Equations (PIDE) Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

Publish Date
Publisher
Wiley
Language
English
Pages
440

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Edition Availability
Cover of: Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
2013, Wiley & Sons, Limited, John
in English
Cover of: Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
2013, Wiley & Sons, Incorporated, John
in English
Cover of: Finite difference methods in financial engineering
Cover of: Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
2007, Wiley & Sons, Incorporated, John
in English
Cover of: Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering
2006, Wiley & Sons, Incorporated, John
in English
Cover of: Finite Difference Methods in Financial Engineering
Finite Difference Methods in Financial Engineering
2006, John Wiley & Sons, Ltd.
Electronic resource in English
Cover of: Finite Difference Methods in Financial Engineering

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Book Details


First Sentence

"The goal of this book is to develop robust, accurate and efficient numerical methods to price a number of derivative products in quantitative finance."

Edition Identifiers

Open Library
OL7598181M
ISBN 10
0470858826
ISBN 13
9780470858820
LibraryThing
3338880
Goodreads
2047978

Work Identifiers

Work ID
OL5706186W

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Download catalog record: RDF / JSON / OPDS | Wikipedia citation
March 28, 2025 Edited by ImportBot Redacting ocaids
April 6, 2014 Edited by ImportBot Added IA ID.
August 6, 2010 Edited by IdentifierBot added LibraryThing ID
April 24, 2010 Edited by Open Library Bot Fixed duplicate goodreads IDs.
April 29, 2008 Created by an anonymous user Imported from amazon.com record