Derivative Securities and Difference Methods

Authors:

ISBN: 978-1-4614-7305-3 (Print) 978-1-4614-7306-0 (Online)

Table of contents (10 chapters)

  1. Front Matter

    Pages i-xxii

  2. Partial Differential Equations in Finance

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-15

      Introduction

    3. No Access

      Book Chapter

      Pages 17-103

      European Style Derivatives

    4. No Access

      Book Chapter

      Pages 105-157

      American Style Derivatives

    5. No Access

      Book Chapter

      Pages 159-275

      Exotic Options

    6. No Access

      Book Chapter

      Pages 277-345

      Interest Rate Derivative Securities

  3. Numerical Methods for Derivative Securities

    1. Front Matter

      Pages 347-347

    2. No Access

      Book Chapter

      Pages 349-389

      Basic Numerical Methods

    3. No Access

      Book Chapter

      Pages 391-444

      Finite-Difference Methods

    4. No Access

      Book Chapter

      Pages 445-534

      Initial-Boundary Value and LC Problems

    5. No Access

      Book Chapter

      Pages 535-604

      Free-Boundary Problems

    6. No Access

      Book Chapter

      Pages 605-636

      Interest Rate Modeling

  4. Back Matter

    Pages 637-647