Pricing Financial Instruments : The Finite Difference Method, Hardcover

by Curt Randall, Domingo Tavella

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Pricing Financial Instruments : The Finite Difference Method, Hardcover by Tavella, Domingo; Randall, Curt, ISBN 0471197602, ISBN-13 9780471197607, Like New Used, Free shipping in the US This book presents a framework for applying the method of finite differences to the pricing of financial derivatives. It is structured with an emphasis on understanding how numerical schemes work, and how the approximations involved affect the accuracy of the solution. Coverage includes stochastic processes and arbitrage pricing arguments, the derivation of pricing equations, analysis of numerical schemes, and coordinate transformation. Case studies demonstrate the capabilities of the methodology presented. Material is aimed primarily at practitioners, but th can be used as a reference text in financial engineering coursework. Although mathematical complexity has been reduced to a minimum, some background in derivative pricing and linear algebra is required. Tavella is a risk management and financial systems design consultant; Randall is involved with software synthesis technology for the finance industry. Annotation c. Book News, Inc., Portland, OR ()

• Publisher: Wiley & Sons, Incorporated, John
• Year: 2000
• Binding: Hardcover
• ISBN: 9780471197607
• Condition: Fine

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