Finite difference methods in financial engineering
a partial differential equation approach
- ISBN: 9780470858820
- Editorial: John Wiley & Sons Limited
- Fecha de la edición: 2006
- Lugar de la edición: New Jersey. Estados Unidos de Norteamérica
- Encuadernación: Cartoné
- Medidas: 26 cm
- Nº Pág.: 440
- Idiomas: Inglés
Today's most complete and practical guide to finite difference methods and its applications to derivatives The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in today's global markets. Finite Difference Methods in Financial Engineering provides a step-by-step description of how robust and accurate numerical methods are motivated and applied to pricing financial derivative products. Focusing on real-world derivative products such as vanilla and exotic options and credit and interest rate derivatives, it details the application of FDM to the partial differential equations that model derivative products in the financial markets and includes a CD containing C++ source code and executable programs.
With CD-ROM
