Finite difference methods in financial engineering : a partial differential equation approach

=001  21674=003  OCoLC=005  20060605082657.0=008  060606s2006    enka          001 0 eng=010  ##$a2006001397=020  ##$a0470858826 (hbk.)=041  0#$aeng=042  ##$apcc=050  00$aHG176.7 $b.D84 2006=082  00$a332.0151562 $222=092  ##$a332.0151562 $bD8=100  1#$aDuffy, Daniel J.=245  10$aFinite difference methods in financial engineering : $ba partial differential equation approach / $cDaniel J. Duffy.=260  ##$aChichester, England ; $aHoboken, N.J. : $bJohn Wiley & Sons, $c2006=300  ##$axv, 423 p. : $bill. ; $c25 cm. + $e1 CD-ROM. (4 3/4 in.)=490  0#$aWiley finance series.=504  ##$aIncludes bibliographical references (p. [409]-416) and index.=650  #0$aDerivative securities $xPrices $xMathematical models.=650  #0$aDifferential equations, Partial $xNumerical solutions.=650  #0$aFinancial engineering $xMathematics.=650  #0$aFinite differences.=970  11$l1 $tAn introduction to ordinary differential equations=970  11$l10 $tFDM for the one-dimensional convection-diffusion equation=970  11$l11 $tExponentially fitted finite difference schemes=970  11$l12 $tExact solutions and explicit finite difference method for one-factor models=970  11$l13 $tAn introduction to the trinomial method=970  11$l14 $tExponentially fitted difference schemes for barrier options=970  11$l15 $tAdvanced issues in barrier and lookback option modelling=970  11$l16 $tThe meshless (meshfree) method in financial engineering=970  11$l17 $tExtending the Black-Scholes model : jump processes=970  11$l18 $tFinite difference schemes for multidimensional problems=970  11$l19 $tAn introduction to alternating direction implicit and splitting methods=970  11$l2 $tAn introduction to partial differential equations=970  11$l20 $tAdvanced operator splitting methods : fractional steps=970  11$l21 $tModern splitting methods=970  11$l22 $tOptions with stochastic volatility : the Heston model=970  11$l23 $tFinite difference methods for Asian options and other 'mixed' problems=970  11$l24 $tMulti-asset options=970  11$l25 $tFinite difference methods for fixed-income problems=970  11$l26 $tBackground to free and moving boundary value problems=970  11$l27 $tNumerical methods for free boundary value problems : front-fixing methods=970  11$l28 $tViscosity solutions and penalty methods for American option problems=970  11$l29 $tVariational formulation of American option problems=970  11$l3 $tSecond-order parabolic differential equations=970  11$l30 $tFinding the appropriate finite difference schemes for your financial engineering problem=970  11$l31 $tDesign and implementation of fist-order problems=970  11$l32 $tMoving to Black-Scholes=970  11$l33 $tC++ class hierarchies for one-factor and two-factor payoffs=970  11$l4 $tAn introduction to the heat equation in one dimension=970  11$l5 $tAn introduction to the method of characteristics=970  11$l6 $tAn introduction to the finite difference method=970  11$l7 $tAn introduction to the method of lines=970  11$l8 $tGeneral theory of the finite difference method=970  11$l9 $tFinite difference schemes for first-order partial differential equations=970  11$lApp. A1 $tAn introduction to integral and partial integro-differential equations=970  11$lApp. A2 $tAn introduction to the finite element method=970  11$tGoals of this book and global overview=LDR  03805cam a22007454a 4500