Numerical Partial Differential Equations in Finance Explained e-bog
310,39 DKK
(inkl. moms 387,99 DKK)
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, 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 rel...
E-bog
310,39 DKK
Forlag
Palgrave Macmillan
Udgivet
2 september 2017
Genrer
Investment and securities
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9781137435699
This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, 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 mathematics is sufficient. The book provides a wealth of examples, and ample numerical experiments are givento illustrate the theory. 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 finance.