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Numerical Methods in Computational Finance: A Partial Differential Equation (Pde/Fdm) Approach
Contributor(s): Duffy, Daniel J. (Author)
ISBN: 1119719674     ISBN-13: 9781119719670
Publisher: Wiley
OUR PRICE:   $90.25  
Product Type: Hardcover - Other Formats
Published: March 2022
Qty:
Temporarily out of stock - Will ship within 2 to 5 weeks
Additional Information
BISAC Categories:
- Business & Economics | Finance - Financial Engineering
- Business & Economics | Corporate Finance - General
Dewey: 658.15
LCCN: 2021042737
Physical Information: 1.57" H x 6.85" W x 9.69" (2.55 lbs) 544 pages
 
Descriptions, Reviews, Etc.
Publisher Description:

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach defines a repeatable process to introduce PDEs in finance, analyse them mathematically, devise robust and accurate numerical algorithms to approximate these PDEs and then map these algorithms to C++ and C#.

Written in an incremental way in order to facilitate a range of readers at various skill levels and experience, each chapter contains hands-on exercises and projects that form an integral part of the text.

The book consists of eight parts. Each part contains several chapters and deals with a single autonomous topic:

  • PDEs (generic)
  • PDEs in finance
  • Fundamentals FDM (generic)
  • FDM in finance
  • Advanced FDM (generic)
  • Advanced FDM in finance
  • Software Frameworks in C++ and C#
  • Applications of machine learning in computational finance