Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach [With CDROM]

Author: Daniel J. Duffy
Publisher: Wiley
Published: 04/01/2006
Pages: 464
Binding Type: Hardcover
Weight: 2.21lbs
Size: 9.78h x 6.78w x 1.22d
ISBN13: 9780470858820
ISBN10: 0470858826
BISAC Categories:
- Business & Economics | Finance | Financial Engineering
- Mathematics | Differential Equations | General
- Business & Economics | Investments & Securities | Derivatives

About the Author
Daniel Duffy is a numerical analyst who has been working in the IT business since 1979. He has been involved in the analysis, design and implementation of systems using object-oriented, component and (more recently) intelligent agent technologies to large industrial and financial applications. As early as 1993 he was involved in C++ projects for risk management and options applications with a large Dutch bank. His main interest is in finding robust and scalable numerical schemes that approximate the partial differential equations that model financial derivatives products. He has an M.Sc. in the Finite Element Method first-order hyperbolic systems and a Ph.D. in robust finite difference methods for convection-diffusion partial differential equations. Both degrees are from Trinity College, Dublin, Ireland.
Daniel Duffy is founder of Datasim Education and Datasim Component Technology, two companies involved in training, consultancy and software development.

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