Numerical methods in computational finance: (Record no. 6288)
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| fixed length control field | 02889nam a22002057a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20240216153434.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 240216b |||||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781119719670 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 658.15 |
| Item number | DUF |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Duffy, Daniel J. |
| 245 ## - TITLE STATEMENT | |
| Title | Numerical methods in computational finance: |
| Remainder of title | a partial differential equation (PDE/FDM) approach |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher, distributor, etc. | John Wiley & Sons, Ltd. |
| Place of publication, distribution, etc. | Chichester |
| Date of publication, distribution, etc. | 2022 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xxiii, 520 p. |
| 365 ## - TRADE PRICE | |
| Price type code | USD |
| Price amount | 95.00 |
| 490 ## - SERIES STATEMENT | |
| Series statement | Wiley Finance Series |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users.<br/><br/>Part A Mathematical Foundation for One-Factor Problems<br/><br/>Chapters 1 to 7 introduce the mathematical and numerical analysis concepts that are needed to understand the finite difference method and its application to computational finance.<br/><br/>Part B Mathematical Foundation for Two-Factor Problems<br/><br/>Chapters 8 to 13 discuss a number of rigorous mathematical techniques relating to elliptic and parabolic partial differential equations in two space variables. In particular, we develop strategies to preprocess and modify a PDE before we approximate it by the finite difference method, thus avoiding ad-hoc and heuristic tricks.<br/><br/>Part C The Foundations of the Finite Difference Method (FDM)<br/><br/>Chapters 14 to 17 introduce the mathematical background to the finite difference method for initial boundary value problems for parabolic PDEs. It encapsulates all the background information to construct stable and accurate finite difference schemes.<br/><br/>Part D Advanced Finite Difference Schemes for Two-Factor Problems<br/><br/>Chapters 18 to 22 introduce a number of modern finite difference methods to approximate the solution of two factor partial differential equations. This is the only book we know of that discusses these methods in any detail.<br/><br/>Part E Test Cases in Computational Finance<br/><br/>Chapters 23 to 26 are concerned with applications based on previous chapters. We discuss finite difference schemes for a wide range of one-factor and two-factor problems.<br/><br/>This book is suitable as an entry-level introduction as well as a detailed treatment of modern methods as used by industry quants and MSc/MFE students in finance. The topics have applications to numerical analysis, science and engineering.<br/><br/>More on computational finance and the author’s online courses, see www.datasim.nl.<br/><br/>(https://www.wiley.com/en-us/Numerical+Methods+in+Computational+Finance%3A+A+Partial+Differential+Equation+%28PDE+FDM%29+Approach-p-9781119719724) |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Differential equations |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial engineering |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Book |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Bill No | Bill Date | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Accession Number | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Operations Management & Quantitative Techniques | SBHPL/INV/1162/2023-2024 | 27-01-2024 | Indian Institute of Management LRC | Indian Institute of Management LRC | General Stacks | 02/16/2024 | Sarat Book House Pvt. Ltd. | 5347.55 | 658.15 DUF | 005873 | 02/16/2024 | 1 | 8227.00 | 02/16/2024 | Book |