Titlebook: Derivatives and Internal Models; Hans-Peter Deutsch Book 2002Latest edition Hans-Peter Deutsch 2002 management.organization.risk managemen

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https://doi.org/10.1007/978-3-8349-9881-1ematical finance. Finite difference methods are very powerful and flexible as well. They can be applied to a wide variety of different derivatives with either European or American payoff modes. In this section, we will provide a very detailed discussion of these important methods in a generality far

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https://doi.org/10.1007/BFb0092343to the fundamental differential equations governing the price of the instrument. These methods provide a useful alternative to those (numerical or analytical) methods presented in the previous sections for solving differential equations. In principle (ignoring for the moment the potential computing-

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Factorization Method in Quantum Mechanicsnistic and hence predictable with certainty for all future times, we would know at time t which options will be in or out of the money upon maturity T. The options which are out of the money at maturity would be worthless at all earlier times t < T as well. The options which are in the money at matu

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Factorization and Riccati Equationswith the explicit valuation of the most important and common financial instruments. We restrict our considerations to simple (for the most part, plain vanilla) instruments which still represent the largest proportion of all trades in financial markets today. The methods presented in Part II do in fa

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Overview of the Assumptionsels. A complete list of all model assumptions made in this book are summarized here in order to provide an overview of the numerous conditions and assumptions arising in the various methods. For each pricing and risk management method discussed in the following chapters, we will specify which of these assumptions are needed for their application.