Quantitative methods in derivatives pricing : An introduction to computational finance
Topics discussed include: A brief introduction to single-period pricing A self-contained, practical introduction to stochastic calculus, with an emphasis on practical applications; Introduction to continuous-time pricing; Generation of scenarios for simulation, discussing methods and accuracy in de...
保存先:
| 第一著者: | |
|---|---|
| フォーマット: | 図書 |
| 言語: | Undetermined |
| 出版事項: |
New York
Wiley
c2002
|
| 主題: | |
| タグ: |
タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
|
| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
|---|
| 要約: | Topics discussed include: A brief introduction to single-period pricing A self-contained, practical introduction to stochastic calculus, with an emphasis on practical applications; Introduction to continuous-time pricing; Generation of scenarios for simulation, discussing methods and accuracy in detail; Simulation applied to computing expectations for European pricing; Simulation applied to early exercise pricing, presenting a detailed description of the least squares Monte Carlo method; The use of finite differences in option pricing |
|---|