This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
|File Size||12.18 MB|
|Create Date||September 17, 2019|
|Last Updated||September 17, 2019|
|Derivative Securities and Difference Methods (PDF)||Download|