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.
| ISBN-13: | 9780387208428 |
| ISBN-10: | 0387208429 |
| Publisher: | Springer Science & Business Media |
| Publication date: | 2004-08-27 |
| Edition description: | 2004 |
| Pages: | 513 |
| Product dimensions: | Height: 9.21 Inches, Length: 6.14 Inches, Weight: 1.88936158534 Pounds, Width: 1.19 Inches |
| Author: | You-lan Zhu, Xiaonan Wu, I-Liang Chern |
| Language: | en |
| Binding: | Hardcover |
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