Quantitative Methods in Derivatives Pricing - An Introduction to Computational Finance

Autor: Domingo Tavella

Jazyk:

Vazba: Pevná

Vydavatel: John Wiley & Sons Inc

Dostupnost: Skladem u dodavatele

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This book presents a cogent description of the main methodologies used in derivatives pricing. Start...

Informace o knize

Autor

Domingo Tavella

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2002

Stránek

304

EAN

9780471394471

ISBN

0471394475

Enbook ID

04890502

Vydavatel

John Wiley & Sons Inc

Hmotnost

644

Rozměry

166 x 242 x 23

Kompletní popis

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

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Quantitative Methods in Derivatives Pricing - An Introduction to Computational Finance

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