Duffy, Daniel J.,
Numerical methods in computational finance : a partial differential equation (PDE/FDM) approach / Daniel J. Duffy. - 1 online resource (xxiii, 520 pages) : illustrations. - - Wiley finance series. . - Wiley finance series. .
Includes bibliographical references and index.
"Ordinary differential equations and partial differential equations form the basis for modelling many kinds of phenomena in areas such as science, engineering, computational finance and more generally, mathematical physics. There are currently no books on the market which can guide a reader with no prior knowledge of PDEs through the basics and onto advanced applications."--
About the Author
DANIEL DUFFY, PhD, has BA (Mod), MSc and PhD degrees in pure, applied and numerical mathematics (University of Dublin, Trinity College) and he is active in promoting partial differential equations (PDE) and the Finite Difference Method (FDM) for applications in computational finance. He was responsible for the introduction of the Fractional Step (Soviet Splitting) method and the Alternating Direction Explicit (ADE) method in computational finance. He is the originator of the exponential fitting method for convection-dominated PDEs.
9781119719670 9781119719694 1119719690 9781119719731 1119719739 9781119719724 1119719720 1119719674 9781119719670
9781119719724 Wiley
GBC255257 bnb
Financial engineering.
Differential equations, Partial.
Electronic books.
HG176.7 / .D846 2022
658.15
Numerical methods in computational finance : a partial differential equation (PDE/FDM) approach / Daniel J. Duffy. - 1 online resource (xxiii, 520 pages) : illustrations. - - Wiley finance series. . - Wiley finance series. .
Includes bibliographical references and index.
"Ordinary differential equations and partial differential equations form the basis for modelling many kinds of phenomena in areas such as science, engineering, computational finance and more generally, mathematical physics. There are currently no books on the market which can guide a reader with no prior knowledge of PDEs through the basics and onto advanced applications."--
About the Author
DANIEL DUFFY, PhD, has BA (Mod), MSc and PhD degrees in pure, applied and numerical mathematics (University of Dublin, Trinity College) and he is active in promoting partial differential equations (PDE) and the Finite Difference Method (FDM) for applications in computational finance. He was responsible for the introduction of the Fractional Step (Soviet Splitting) method and the Alternating Direction Explicit (ADE) method in computational finance. He is the originator of the exponential fitting method for convection-dominated PDEs.
9781119719670 9781119719694 1119719690 9781119719731 1119719739 9781119719724 1119719720 1119719674 9781119719670
9781119719724 Wiley
GBC255257 bnb
Financial engineering.
Differential equations, Partial.
Electronic books.
HG176.7 / .D846 2022
658.15