1. Finite difference methods in financial engineering : a partial differential equation approach [2006]
 Duffy, Daniel J.
 Chichester, England ; Hoboken, NJ : John Wiley, ©2006.
 Description
 Book — xv, 423 pages : illustrations ; 25 cm.
 Summary

 Goals of this book and global overview
 1. An introduction to ordinary differential equations
 2. An introduction to partial differential equations
 3. Secondorder parabolic differential equations
 4. An introduction to the heat equation in one dimension
 5. An introduction to the method of characteristics
 6. An introduction to the finite difference method
 7. An introduction to the method of lines
 8. General theory of the finite difference method
 9. Finite difference schemes for firstorder partial differential equations
 10. FDM for the onedimensional convectiondiffusion equation
 11. Exponentially fitted finite difference schemes
 12. Exact solutions and explicit finite difference method for onefactor models
 13. An introduction to the trinomial method
 14. Exponentially fitted difference schemes for barrier options
 15. Advanced issues in barrier and lookback option modelling
 16. The meshless (meshfree) method in financial engineering
 17. Extending the BlackScholes model : jump processes
 18. Finite difference schemes for multidimensional problems
 19. An introduction to alternating direction implicit and splitting methods
 20. Advanced operator splitting methods : fractional steps
 21. Modern splitting methods
 22. Options with stochastic volatility : the Heston model
 23. Finite difference methods for Asian options and other 'mixed' problems 24. Multiasset options
 25. Finite difference methods for fixedincome problems
 26. Background to free and moving boundary value problems
 27. Numerical methods for free boundary value problems : frontfixing methods
 28. Viscosity solutions and penalty methods for American option problems
 29. Variational formulation of American option problems
 30. Finding the appropriate finite difference schemes for your financial engineering problem.
 31. Design and implementation of fistorder problems
 32. Moving to BlackScholes
 33. C++ class hierarchies for onefactor and twofactor payoffs
 App. A1. An introduction to integral and partial integrodifferential equations
 App. A2. An introduction to the finite element method.
 Online
Science Library (Li and Ma)
Science Library (Li and Ma)  Status 

Stacks  
HG176.7 .D84 2006  Unknown 