Pricing Financial Instruments: The Finite Difference Method

[Domingo Tavella, Curt Randall] ↠ Pricing Financial Instruments: The Finite Difference Method à Download Online eBook or Kindle ePUB. Pricing Financial Instruments: The Finite Difference Method Numerical methods for the solution of financial instrument pricing equations are fast becoming essential for practitioners of modern quantitative finance. I highly recommend it to anyone interested in the implementation of these methods in the financial arena.-Peter Carr, Principal Bank of America Securities A very comprehensive treatment of the application of finite difference techniques to derivatives finance. Highly recommended.-Mark Broadie, Associate Professor School of Business, Columbi

Pricing Financial Instruments: The Finite Difference Method

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Rating : 4.51 (944 Votes)
Asin : 0471197602
Format Type : paperback
Number of Pages : 256 Pages
Publish Date : 2015-01-03
Language : English

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Numerical methods for the solution of financial instrument pricing equations are fast becoming essential for practitioners of modern quantitative finance. I highly recommend it to anyone interested in the implementation of these methods in the financial arena."-Peter Carr, Principal Bank of America Securities "A very comprehensive treatment of the application of finite difference techniques to derivatives finance. Highly recommended."-Mark Broadie, Associate Professor School of Business, Columbia University For updates on new and bestselling Wiley Finance books: wiley/wbns. Both financial analysts and academic asset-pricing specialists will want to own a copy."-Darrell Duffie, Professor of Finance Stanford University "In my experience, finite difference methods have proven to be a simple yet powerful tool for numeric

Among the most promising of these new computational finance techniques is the finite difference method-yet, to date, no single resource has presented a quality, comprehensive overview of this revolutionary quantitative approach to risk management. From the Inside Flap Pricing Financial Instruments Numerical methods for the solution of financial instrument pricing equations are fast becoming essential for practitioners of modern quantitative finance. Detailing the algorithmic and numerical procedures that are the foundation of both

"Financial Engineering Review" according to Roberto B. Kerr. It is a very good book, well written and didactic. It covers important topics related to Financial Engineering, such as Stochastic Processes, the Pricing Equations, it also covers numerical methods such as the Finite Difference Methods. There is a topic covering the linear complementarity formulation of American Option Pricing which was able to make me understand it much better than ever before.. "A specialised book for special Instruments" according to A Customer. This book approximates the solution of one-factor and multi-factor PDEs that describe derivatives such as barrier options, convertible bonds, Asian options and credit derivatives.Standard finite difference schemes are used. In particular, A specialised book for special Instruments This book approximates the solution of one-factor and multi-factor PDEs that describe derivatives such as barrier options, convertible bonds, Asian options and credit derivatives.Standard finite difference schemes are used. In particular, 3-point centred difference schemes approximate the derivatives in the S directions while Crank-Nicolson (averaging) is used to approximate the t derivative. Stability and convergence of the schemes are proved using the Lax Equivalence theoerem. Special attention is paid to resolving the, by now. -point centred difference schemes approximate the derivatives in the S directions while Crank-Nicolson (averaging) is used to approximate the t derivative. Stability and convergence of the schemes are proved using the Lax Equivalence theoerem. Special attention is paid to resolving the, by now. A clear treatment, with well-chosen subjects Brian Boonstra Tavella and Randall have produced a compact, yet complete treatment of finite difference techniques in finance. I met Curt Randall in 1996 when his SciFinance software was in its infancy (though there is currently no connection between us). This software automatically generates C code to solve PDE's. That is an order of magnitude -- maybe two orders -- harder than just writing the code by hand. I inferred that Dr. Randall has a unique understanding of finite-difference methods for solving PDE's. For these reasons, I was very int

He is the founder and chief editor of the Journal of Computational Finance, and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. He has extensive experience in the application of finite difference methods to a variety of disciplines. Prior to that, he was a scientist at Stanford University and NASA Ames Research Center.

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