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Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)

Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)

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Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)

Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach (The Wiley Finance Series)

4.85 23,808 ratings · 2,342 reviews
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Overview: The world of quantitative finance (QF) is one of the fastestgrowing areas of research and its practical applications toderivatives pricing problem. Since the discovery of the famousBlack-Scholes equation in the 1970's we have seen a surge in thenumber of models for a wide range of products such as plain andexotic options, interest rate derivatives, real options and manyothers. Gone are the days when it was possible to price thesederivatives analytically. For most problems we must resort to somekind of approximate method. In this book we employ partial differential equations (PDE) todescribe a range of one-factor and multi-factor derivativesproducts such as plain European and American options, multi-assetoptions, Asian options, interest rate options and real options. PDEtechniques allow us to create a framework for modeling complex andinteresting derivatives products. Having defined the PDE problem wethen approximate it using the Finite Difference Method (FDM). Thismethod has been used for many application areas such as fluiddynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques topricing real-life derivative products. We use both traditional (orwell-known) methods as well as a number of advanced schemes thatare making their way into the QF literature:Crank-Nicolson, exponentially fitted and higher-order schemesfor one-factor and multi-factor optionsEarly exercise features and approximation using front-fixing, penalty and variational methodsModelling stochastic volatility models using SplittingmethodsCritique of ADI and Crank-Nicolson schemes; when they work andwhen they don't workModelling jumps using Partial Integro Differential Equations(PIDE)Free and moving boundary value problems in QFIncluded with the book is a CD containing information on how toset up FDM algorithms, how to map these algorithms to C++ as wellas several working programs for one-factor and two-factor models.We also provide source code so that you can customize theapplications to suit your own needs.

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ISBN
2047978
Publication date
March 30, 2006
Pages
N/A pages
Reading Options
PDF · EPUB · Mobi
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Daniel J. Duffy
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Daniel J. Duffy is a writer and avid reader based in the Pacific Northwest. Before pursuing writing full-time, they spent over a decade working in education. When not working on their next book, Daniel J. Duffy can usually be found hiking with their dog or trying out new coffee shops in their neighborhood.

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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
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Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
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Absolutely brilliant. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
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Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Gary Reyes
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A decent, if standard, experience. It possessed moments of brilliance, but the narrative felt slightly disjointed ultimately. Perfectly average.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
George Thomas
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Jacob Edwards
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Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
Deborah Roberts
Deborah Roberts December 19, 2024
Excellent, though slightly flawed. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
Mary Taylor
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Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
Joshua Rodriguez
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Nicholas Rivera
Nicholas Rivera April 18, 2024
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
Joseph White
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It was adequate. It verged on repetitive in the second act. A more concise edit would have served it well. Suitable if your reading queue is empty.
Carol Adams
Carol Adams February 20, 2025
A profoundly satisfying read. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
Eric Wright
Eric Wright February 29, 2024
Honestly one of the most premium reading experiences lately. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
Rebecca Roberts
Rebecca Roberts August 13, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
George Thompson
George Thompson August 20, 2024
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
Brian Hernandez
Brian Hernandez December 24, 2024
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
Linda King
Linda King January 16, 2025
Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
Sharon  Davis
Sharon Davis April 29, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
Ashley Young
Ashley Young September 13, 2025
Absolutely brilliant. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Linda Young
Linda Young December 28, 2024
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. I would highly recommend this to discerning readers.
Jacob Johnson
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I thoroughly enjoyed the elegance of it. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. Quite impressive overall.
Mary Gonzalez
Mary Gonzalez April 24, 2025
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. A true literary gem.
Ryan Martin
Ryan Martin January 23, 2025
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
Michelle Phillips
Michelle Phillips December 22, 2025
Exceeded all my expectations. I became deeply invested in the protagonist's journey. A masterclass in storytelling. I am now a lifelong fan of this author.
Donna Jones
Donna Jones September 29, 2024
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. I would highly recommend this to discerning readers.
Joseph Lee
Joseph Lee March 15, 2025
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A wonderful companion for a quiet weekend.
Rebecca Williams
Rebecca Williams November 04, 2024
Excellent, though slightly flawed. The protagonist was compelling, though some subplots felt slightly overshadowed. A solid 4 stars from me.
Rebecca Perez
Rebecca Perez November 11, 2025
I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
Jessica Jones
Jessica Jones April 24, 2024
A highly sophisticated read. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A wonderful companion for a quiet weekend.
Kimberly Thomas
Kimberly Thomas April 20, 2025
I thoroughly enjoyed the elegance of it. It held my rapt attention, even when certain twists were telegraphed. I would highly recommend this to discerning readers.
Donna Jackson
Donna Jackson October 14, 2025
It was adequate. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Paul Harris
Paul Harris February 13, 2025
An acceptable diversion. Certain acts were fascinating, while others felt like a slight endeavor to complete. A fair 3 stars.
Eric Thomas
Eric Thomas July 27, 2024
Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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