Gunter H. Meyer – författare
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6 produkter
6 produkter
E-bok
PDF, Engelska, 20051 071 kr
Läs direkt efter köp
Separation of Variables for Partial Differential Equations: An Eigenfunction Approach includes many realistic applications beyond the usual model problems. The book concentrates on the method of separation of variables for partial differential equations, which remains an integral part of the training in applied mathematics. Beyond the usual model p
Häftad, Engelska, 2019
920 kr
Skickas inom 10-15 vardagar
Separation of Variables for Partial Differential Equations: An Eigenfunction Approach includes many realistic applications beyond the usual model problems. The book concentrates on the method of separation of variables for partial differential equations, which remains an integral part of the training in applied mathematics. Beyond the usual model problems, the presentation includes a number of realistic applications that illustrate the power and usefulness of the ideas behind these techniques. This complete, self-contained book includes numerous exercises and error estimates, as well as a rigorous approximation and computational tool.
E-bok
Engelska, 20051 071 kr
Läs direkt efter köp
Separation of Variables for Partial Differential Equations: An Eigenfunction Approach includes many realistic applications beyond the usual model problems. The book concentrates on the method of separation of variables for partial differential equations, which remains an integral part of the training in applied mathematics. Beyond the usual model p
Inbunden, Engelska, 2005
2 635 kr
Skickas inom 10-15 vardagar
Separation of Variables for Partial Differential Equations: An Eigenfunction Approach includes many realistic applications beyond the usual model problems. The book concentrates on the method of separation of variables for partial differential equations, which remains an integral part of the training in applied mathematics. Beyond the usual model problems, the presentation includes a number of realistic applications that illustrate the power and usefulness of the ideas behind these techniques. This complete, self-contained book includes numerous exercises and error estimates, as well as a rigorous approximation and computational tool.
Inbunden, Engelska, 2014
1 289 kr
Skickas inom 5-8 vardagar
The early exercise opportunity of an American option makes it challenging to price and an array of approaches have been proposed in the vast literature on this topic. In The Numerical Solution of the American Option Pricing Problem, Carl Chiarella, Boda Kang and Gunter Meyer focus on two numerical approaches that have proved useful for finding all prices, hedge ratios and early exercise boundaries of an American option. One is a finite difference approach which is based on the numerical solution of the partial differential equations with the free boundary problem arising in American option pricing, including the method of lines, the component wise splitting and the finite difference with PSOR. The other approach is the integral transform approach which includes Fourier or Fourier Cosine transforms. Written in a concise and systematic manner, Chiarella, Kang and Meyer explain and demonstrate the advantages and limitations of each of them based on their and their co-workers' experiences with these approaches over the years.
Inbunden, Engelska, 2015
1 430 kr
Skickas inom 5-8 vardagar
Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.Extensive numerical simulations are carried out with the method of lines to examine the influence of the finite computational domain and of the chosen boundary conditions on option and bond prices in one and two dimensions, reflecting multiple assets, stochastic volatility, jump diffusion and uncertain parameters. Special emphasis is given to early exercise boundaries, prices and their derivatives near expiration. Detailed graphs and tables are included which may serve as benchmark data for solutions found with competing numerical methods.