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- Product code: 20911
- ISBN: 0470858826,
ISBN13: 9780470858820,
320 pages, hardback
Published by John Wiley & Sons, 1st edition, 2006
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Description of Finite Difference Methods in Financial Engineering |
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.
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