Quantitative methods in derivatives pricing :

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...

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Detaylı Bibliyografya
Yazar: Tavella, Domingo
Materyal Türü: Kitap
Dil:Undetermined
Baskı/Yayın Bilgisi: New York Wiley c2002
Konular:
Credit derivatives,Derivative securities,Finance,Tài chính
Mathematical models,Prices,Mathematical models,Mathematical models,Loại hình toán học
Etiketler: Etiketle
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Thư viện lưu trữ: Trung tâm Học liệu Trường Đại học Cần Thơ
Diğer Bilgiler
Özet: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

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