Numerical methods in computational finance : a partial differential equation (PDE/FDM) approach / Daniel J. Duffy.
By: Duffy, Daniel J [author.]
Language: English Series: Wiley finance series: Publisher: Chichester, West Sussex: John Wiley & Sons, Ltd, 2022Copyright date: ©2022Description: 1 online resource (xxiii, 520 pages) : illustrationsContent type: text Media type: computer Carrier type: online resourceISBN: 9781119719670 ; 9781119719694 ; 1119719690; 9781119719731; 1119719739; 9781119719724; 1119719720; 1119719674; 9781119719670Subject(s): Financial engineering | Differential equations, PartialGenre/Form: Electronic books.DDC classification: 658.15 LOC classification: HG176.7 | .D846 2022Online resources: Full text available at Wiley Online Library Click here to view. Summary: "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."-- Provided by publisher.| Item type | Current location | Home library | Call number | Status | Date due | Barcode | Item holds |
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EBOOK
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COLLEGE LIBRARY | COLLEGE LIBRARY | 658.15 D8741 2021 (Browse shelf) | Available | CL-51252 |
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."-- Provided by publisher.
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.
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