Bücher von Zhi-Zhong Sun

Starting with an introduction to fractional derivatives and numerical approximations, this book presents finite difference methods for fractional differential equations, including time-fractional sub-diffusion equations, time-fractional wave equations, and space-fractional differential equations, among others. Approximation methods for fractional derivatives are developed and approximate accuracies are analyzed in detail.

The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars.