PRIC DERIV SECUR (2ND ED)[W/ CD]

By: EPPS THOMAS W

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Hardcover | 13 June 2007 | Edition Number 2

At a Glance

Hardcover
644 Pages

Edition Type
Revised

Dimensions(cm)
22.86 x 15.24 x 3.51

Hardcover

RRP $230.99

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This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Investment & Securities Mathematics Probability & Statistics Booktopia Publisher Services World Scientific Publishing

Introduction and overview	p. 3
Mathematical preparation	p. 21
Tools for continuous- time models	p. 93
Dynamics-free pricing	p. 141
Pricing under Bernoulli dynamics	p. 174
Black-Scholes dynamics	p. 247
American options and "exotics"	p. 292
Models with uncertain volatility	p. 367
Discontinuous processes	p. 401
Interest-rate dynamics	p. 457
Simulation	p. 527
Solving P.D.E.s numerically	p. 577
Programs	p. 595
Table of Contents provided by Blackwell. All Rights Reserved.

PRIC DERIV SECUR (2ND ED)[W/ CD]

At a Glance

Hardcover

Shipping

How to return your order

Defective items

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