Derivative Securities and Difference Methods
You-lan Zhu, "Derivative Securities and Difference Methods"
English | ISBN: 1441919252 | 2004 | 531 pages | PDF | 13 MB
English | ISBN: 1441919252 | 2004 | 531 pages | PDF | 13 MB
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.