Derivative Securities and Difference Methods

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Springer Science & Business Media, Aug 27, 2004 - Business & Economics - 513 pages
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This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
 

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Contents

I
3
II
8
III
9
IV
10
V
13
VII
14
VIII
15
IX
17
LXXXIII
210
LXXXIV
211
LXXXV
212
LXXXVI
218
LXXXVII
220
LXXXVIII
223
XC
226
XCI
233

X
20
XI
22
XII
25
XIII
26
XIV
29
XV
30
XVI
31
XVII
32
XVIII
35
XIX
39
XXI
42
XXII
44
XXIV
48
XXV
49
XXVI
51
XXVIII
52
XXIX
58
XXX
60
XXXI
61
XXXII
62
XXXIII
67
XXXIV
70
XXXV
75
XXXVI
76
XXXVII
78
XXXIX
81
XLI
84
XLII
85
XLIII
89
XLIV
91
XLV
92
XLVII
94
XLVIII
98
XLIX
100
L
113
LI
114
LII
115
LIII
121
LIV
122
LV
126
LVI
127
LVII
129
LVIII
130
LIX
133
LXI
136
LXII
138
LXIII
143
LXIV
145
LXV
152
LXVI
155
LXVII
157
LXVIII
159
LXIX
161
LXX
162
LXXI
166
LXXII
168
LXXIII
178
LXXIV
182
LXXV
183
LXXVII
184
LXXVIII
190
LXXIX
191
LXXX
205
LXXXI
208
XCII
235
XCIII
237
XCIV
241
XCV
248
XCVI
255
XCVII
267
XCIX
271
C
274
CI
276
CII
277
CIII
280
CIV
282
CV
287
CVI
292
CVII
302
CVIII
311
CIX
314
CX
318
CXI
319
CXII
321
CXIII
323
CXIV
328
CXV
331
CXVI
335
CXVII
338
CXVIII
346
CXIX
349
CXXI
351
CXXII
354
CXXIII
359
CXXIV
360
CXXV
361
CXXVI
366
CXXVII
371
CXXVIII
377
CXXIX
379
CXXX
382
CXXXI
392
CXXXIII
396
CXXXIV
402
CXXXV
405
CXXXVI
406
CXXXVII
411
CXXXVIII
422
CXXXIX
427
CXL
429
CXLI
437
CXLII
445
CXLIII
449
CXLIV
456
CXLV
462
CXLVI
467
CXLVII
470
CXLVIII
473
CXLIX
478
CL
481
CLI
484
CLII
490
CLIII
495
CLIV
499
CLV
501
CLVI
503
CLVII
509
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