1938583
9780387208428
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.I-Liang Chern is the author of 'Derivative Securities and Difference Methods (Springer Finance)', published 2004 under ISBN 9780387208428 and ISBN 0387208429.
[read more]