Derivative Securities and Difference Methods (Springer Finance)

This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.Xiaonan Wu is the author of 'Derivative Securities and Difference Methods (Springer Finance)', published 2004 under ISBN 9780387208428 and ISBN 0387208429.