Finite difference methods in financial engineering : a partial differential equation approach
 Responsibility
 Daniel J. Duffy.
 Imprint
 Chichester, England ; Hoboken, NJ : John Wiley, ©2006.
 Physical description
 xv, 423 pages : illustrations ; 25 cm.
 Series
 Wiley finance series.
Online
Available online
At the library
Science Library (Li and Ma)
Stacks
Call number  Note  Status 

HG176.7 .D84 2006  Unknown 
More options
Description
Creators/Contributors
 Author/Creator
 Duffy, Daniel J.
Contents/Summary
 Bibliography
 Includes bibliographical references (pages 409416) and index.
 Contents

 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.
Subjects
 Subjects
 Financial engineering > Mathematics.
 Derivative securities > Prices > Mathematical models.
 Finite differences.
 Differential equations, Partial > Numerical solutions.
 Ingénierie financière > Mathématiques.
 Instruments dérivés (Finances) > Prix > Modèles mathématiques.
 Différences finies.
 Équations aux dérivées partielles > Solutions numériques.
 Derivative securities > Prices > Mathematical models
 Differential equations, Partial > Numerical solutions
 Finite differences
 Derivat Wertpapier
 FiniteDifferenzenMethode
 Partielle Differentialgleichung
 Matemática aplicada.
 Finanças.
 Finita differenser.
Bibliographic information
 Publication date
 2006
 Series
 Wiley finance series
 ISBN
 0470858826
 9780470858820