Computational Finance- Numerical Methods for Pricing Financial Instruments.pdf

COMPUTATIONAL FINANCE

COMPUTATIONAL FINANCE

Numerical Methodsfor Pricing Financial Instruments

George Levy

AMSTERDAM BOSTON HEIDELBERG LONDON NEW YORK OXFORD

PARIS SAN DIEGO SAN FRANCISCO SINGAPORE SYDNEY TOKYO

Butterworth-Heinemann

Elsevier

Linacre House, Jordan Hill, Oxford OX2 8DP

200 Wheeler Road, Burlington, MA 01803

First published 2004

The right of George Levy to be identified as the author of this work

has been asserted in accordance with the Copyright, Designs

and Patents Act 1988

No part of this publication may be reproduced in any material form (including

photocopying or storing in any medium by electronic means and whether

or not transiently or incidentally to some other use of this publication) without

the written permission of the copyright holder except in accordance with the

provisions of the Copyright, Designs and Patents Act 1988 or under the terms of

a licence issued by the Copyright Licensing Agency Ltd, 90 TottenhamCourt Road,

London, England WIT 4LP. Applications for the copyright holder’s written

permission to reproduce any part of this publication should be addressed

to the publisher.

Permissions may be sought directly from Elsevier’s Science and Technology

Rights Department in Oxford, UK. Phone: ( þ 44) (0) 1865 843830;

fax: ( þ 44) (0) 1865 853333; e-mail: permissions@elsevier.co.uk.

You may also complete your request on-line via the Elsevier homepage

(http://www.elsevier.com), by selecting ‘Customer Support’ and then ‘Obtaining

Permissions’

British Library Cataloguing in Publication Data

A catalogue record for this book is available fromthe British Library

Library of Congress Cataloguing in Publication Data

A catalogue record for this book is available fromthe Library of Congress

ISBN 0 7506 5722 7

For information on all Elsevier Butterworth-Heinemann publications

visit our website at www.bh.com

Typeset by Integra Software Services Pvt. Ltd, Pondicherry, India

www.integra-india.com

Printed and bound in The Netherlands