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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| Glavni autor: | |
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| Format: | Knjiga |
| Jezik: | Undetermined |
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New York
Wiley
c2002
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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| LEADER | 01277nam a2200229Ia 4500 | ||
|---|---|---|---|
| 001 | CTU_153296 | ||
| 008 | 210402s9999 xx 000 0 und d | ||
| 020 | |c 57.94 | ||
| 082 | |a 332.645 | ||
| 082 | |b T232 | ||
| 100 | |a Tavella, Domingo | ||
| 245 | 0 | |a Quantitative methods in derivatives pricing : | |
| 245 | 3 | |b An introduction to computational finance | |
| 245 | 0 | |c Domingo Tavella | |
| 260 | |a New York | ||
| 260 | |b Wiley | ||
| 260 | |c c2002 | ||
| 520 | |a 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 | ||
| 650 | |a Credit derivatives,Derivative securities,Finance,Tài chính | ||
| 650 | |x Mathematical models,Prices,Mathematical models,Mathematical models,Loại hình toán học | ||
| 904 | |i Nguyên | ||
| 980 | |a Trung tâm Học liệu Trường Đại học Cần Thơ | ||