000			03526nam a22004693i 4500
001			EBC5017864
003			MiAaPQ
005			20240729131419.0
006			m o d |
007			cr cnu||||||||
008			240724s2017 xx o ||||0 eng d
020			_a9781137435699 _q(electronic bk.)
020			_z9781137435682
035			_a(MiAaPQ)EBC5017864
035			_a(Au-PeEL)EBL5017864
035			_a(CaPaEBR)ebr11431316
035			_a(OCoLC)1003265149
040			_aMiAaPQ _beng _erda _epn _cMiAaPQ _dMiAaPQ
050		4	_aHG176.7
100	1		_ain 't Hout, Karel.
245	1	0	_aNumerical Partial Differential Equations in Finance Explained : _bAn Introduction to Computational Finance.
250			_a1st ed.
264		1	_aLondon : _bPalgrave Macmillan UK, _c2017.
264		4	_c©2017.
300			_a1 online resource (134 pages)
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aFinancial Engineering Explained Series
505	0		_aIntro -- 1 Financial Option Valuation -- 1.1 Financial Options -- 1.2 The Black-Scholes PDE -- 2 Partial Differential Equations -- 2.1 Convection-Diffusion-Reaction Equations -- 2.2 The Model Equation -- 2.3 Boundary Conditions -- 2.4 Notes and References -- 3 Spatial Discretization I -- 3.1 Method of Lines -- 3.2 Finite Difference Formulas -- 3.3 Stability -- 3.4 Notes and References -- 4 Spatial Discretization II -- 4.1 Boundary Conditions -- 4.2 Nonuniform Grids -- 4.3 Nonsmooth Initial Data -- 4.4 Mixed Central/Upwind Discretization -- 4.5 Notes and References -- 5 Numerical Study: Space -- 5.1 Cell Averaging -- 5.2 Nonuniform Grids -- 5.3 Boundary Conditions -- 6 The Greeks -- 6.1 The Greeks -- 6.2 Numerical Study -- 6.3 Notes and References -- 7 Temporal Discretization -- 7.1 The -Methods -- 7.2 Stability and Convergence -- 7.3 Maximum Norm and Positivity -- 7.4 Notes and References -- 8 Numerical Study: Time -- 8.1 Explicit Method -- 8.2 Implicit Methods -- 8.3 Notes and References -- 9 Cash-or-Nothing Options -- 10 Barrier Options -- 11 American-Style Options -- 11.1 American-Style Options -- 11.2 LCP Solution Methods -- 11.3 Numerical Study -- 11.4 Notes and References -- 12 Merton Model -- 12.1 Merton Model -- 12.2 Spatial Discretization -- 12.3 IMEX Schemes -- 12.4 Numerical Study -- 12.5 Notes and References -- 13 Two-Asset Options -- 13.1 Two-Asset Options -- 13.2 Spatial Discretization -- 13.3 ADI Schemes -- 13.4 Numerical Study -- 13.5 Notes and References -- Appendix A: Wiener Process -- Appendix B: Feynman-Kac Theorem -- Appendix C: Down-and-Out Put Option Value -- Appendix D: Max-of-Two-Assets Call Option Value -- Bibliography -- Index.
588			_aDescription based on publisher supplied metadata and other sources.
590			_aElectronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
650		0	_aFinance.
650		0	_aFinancial engineering.
650		0	_aBusiness mathematics.
655		4	_aElectronic books.
700	1		_ain 't Hout, Karel.
776	0	8	_iPrint version: _ain 't Hout, Karel _tNumerical Partial Differential Equations in Finance Explained _dLondon : Palgrave Macmillan UK,c2017 _z9781137435682
797	2		_aProQuest (Firm)
830		0	_aFinancial Engineering Explained Series
856	4	0	_uhttps://ebookcentral.proquest.com/lib/orpp/detail.action?docID=5017864 _zClick to View
999			_c129427 _d129427