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Finite difference methods in financial engineering : a partial differential equation approach /

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This is today's most complete and practical guide to finite difference methods and its applications to derivatives. The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products...

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Bibliographic Details
Main Author: Duffy, Daniel J.
Format: eBook
Language:English
Published: Chichester, England ; Hoboken, NJ : John Wiley, ©2006.
Subjects:
Financial engineering > Mathematics.
Derivative securities > Prices > Mathematical models.
Finite differences.
Differential equations, Partial > Numerical solutions.
CD-ROMs.
Electronic books.
Online Access:Connect to the full text of this electronic book
Description
Summary:This is today's most complete and practical guide to finite difference methods and its applications to derivatives. The application of finite difference methods (FDM), long popular in areas such as fluid mechanics and heat transfer, has become increasingly vital for pricing derivative products in today's global markets.
Physical Description:1 online resource (xv, 423 pages) : illustrations
Bibliography:Includes bibliographical references (pages 409-416) and index.
ISBN:0470858834
9780470858837
9781118673447
1118673441