Numerical Partial Differential Equations in Finance Explained: An Introduction to Computational Finance

Book Description

This book provides a first, basic introduction into the valuation of options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, , methods and results that arise in this approach.  In keeping with the series style, emphasis is placed on intuition as opposed to full rigor, and a relatively basic understanding of is sufficient.

The book provides a wealth of examples, and ample numerical experiments are givento illustrate the . The main focus is on one-dimensional financial PDEs, notably the Black-Scholes equation. The book concludes with a detailed discussion of the important step towards two-dimensional PDEs in .

Table of Contents

Chapter 1 Financial Option Valuation
Chapter 2 Partial Differential Equations
Chapter 3 Spatial Discretization I
Chapter 4 Spatial Discretization Ii
Chapter 5 Numerical Study: Space
Chapter 6 The Greeks
Chapter 7 Temporal Discretization
Chapter 8 Numerical Study: Time
Chapter 9 Cash-Or-Nothing Options
Chapter 10 Barrier Options
Chapter 11 American-Style Options
Chapter 12 Merton Model
Chapter 13 Two-Asset Options
Appendix A: Wiener Process
Appendix B: Feynman–Kac Theorem
Appendix C: Down-and-Out Put Option Value
Appendix D: Max-of-Two-Assets Call Option Value

Book Details

  • Title: Numerical Partial Differential Equations in Finance Explained: An Introduction to Computational Finance
  • Author:
  • Length: 128 pages
  • Edition: 1st ed. 2017
  • Language: English
  • Publisher:
  • Publication Date: 2017-09-04
  • ISBN-10: 1137435682
  • ISBN-13: 9781137435682
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