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finite difference methods in financial engineering: a partial differential equation approach (in English)
Daniel J. Duffy
(Author)
·
Wiley
· Hardcover
finite difference methods in financial engineering: a partial differential equation approach (in English) - Duffy, Daniel J.
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Origin: United Kingdom
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Synopsis "finite difference methods in financial engineering: a partial differential equation approach (in English)"
this book is concerned with the application of finite difference schemes and methods (fdm) to the partial differential equations that model derivative products in the financial markets. fdm have been applied to compute solutions to problems in areas such as fluid mechanics, heat transfer etc. but it is also a valuable method that can be applied to financial engineering. this book will describe, in a step-by-step fashion, how robust and accurate numerical methods are motivated and applied to pricing financial derivative products. the focus will be on real-world derivative products such as vanilla and exotic options, credit and interest rate derivatives. the book will be accompanied by a cd containing c++ source code and executable programs. paul wilmott wrote: definitely a very important book. theres nothing as sophisticated as this in the financial world yet. although plenty, and even more sophisticated, in the general numerical analysis literature. will sell extremely well. it should be a must-have book. peter carr, courant institute, ny the author definitely knows what he is doing. send me the book!
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All books in our catalog are Original.
The book is written in English.
The binding of this edition is Hardcover.
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