Daniel Duffy – Finite Difference Methods in Financial Engineering

PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM).

Daniel Duffy – Finite Difference Methods in Financial Engineering

In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few. In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature:

Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options

Early exercise features and approximation using front-fixing, penalty and variational methods

Modelling stochastic volatility models using Splitting methods

Critique of ADI and Crank-Nicolson schemes; when they work and when they don’t work

Modelling jumps using Partial Integro Differential Equations (PIDE)

Free and moving boundary value problems in QF

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