Name: Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach
ISBN: 9780470858820

Book information

Authors: Daniel J. Duffy verified identity
First published: 2006
Editions known: 7
Publishers: Wiley
Languages: eng
ISBN-13: 9780470858820, 9781118673447
Main topics: Numerical Methods, Derivatives Pricing
Also covers: Quantitative Finance, Options and Volatility, Fixed Income
Related site topics: Fixed Income & Interest Rates, Options & Derivatives Pricing, Volatility Modeling & Forecasting

Overview

Finite Difference Methods in Financial Engineering is a book by Daniel J. Duffy, first published in 2006. In this catalogue it is classified mainly under Numerical Methods and Derivatives Pricing, with secondary coverage of Quantitative Finance, Options and Volatility and Fixed Income.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, linear algebra, numerical analysis, probability theory and stochastic processes.

Orientation. The metadata points to an implementation-oriented, applied treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 99% and difficulty confidence is 85%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	77/100 confidence 99% Score 77.0/100. Strongest: quant_relevance 1.00, technical_depth 0.73; weakest: practical_applicability 0.35. Evidence: title:'financial engineering', subjects:'derivative securities', ol_description:'quantitative finance'.
Mathematical difficulty	Advanced (8/10) confidence 85%
Prerequisites	calculus, differential equations, linear algebra, numerical analysis, probability theory, stochastic processes
Practical orientation	Applied
Metadata quality	97%

Difficulty evidence (8 signals)

mathematical_finance_core matched in ol_description: “stochastic volatility”
numerical_methods matched in ol_description: “finite difference”
numerical_methods matched in openalex_topics: “numerical methods”
numerical_methods matched in subjects: “finite difference”
numerical_methods matched in title: “finite difference”
sde_pde matched in ol_description: “partial differential equations”
sde_pde matched in subjects: “partial differential equations”
sde_pde matched in subtitle: “partial differential equation”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

Mathematical Modeling of Option Pricing with an Extended Black-Scholes Framework Topic similarity inferred similarity 0.42
Path-dependent option pricing with two-dimensional PDE using MPDATA Topic similarity inferred similarity 0.40
Estimation of domain truncation error for a system of PDEs arising in option pricing Topic similarity inferred similarity 0.38
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps Topic similarity inferred similarity 0.38
Feynman-Kac Derivatives Pricing on the Full Forward Curve Topic similarity inferred similarity 0.37
Error Analysis of Option Pricing via Deep PDE Solvers: Empirical Study Topic similarity inferred similarity 0.36

Similar books

Derivative Securities and Difference Methods inferred similarity 0.60
Interest Rate Derivatives inferred similarity 0.59
Derivatives inferred similarity 0.58
Pde And Martingale Methods In Option Pricing inferred similarity 0.58
Time-Discrete Method of Lines for Options and Bonds inferred similarity 0.57

Author profiles

Daniel J. Duffy verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781118673447) (search link; may be an affiliate link)

Relationship graph

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