Pricing Derivative Securities

By: Thomas Wake Epps

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Hardcover | 1 December 1999

At a Glance

Hardcover
712 Pages

Dimensions(cm)
21.59 x 16.51 x 3.81

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Published: 13th June 2007

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The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++.

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Non-Fiction Accounting & Finance Finance Investment & Securities Shares & Stocks Economics Economic Forecasting Computing & I.T.Computer Science Mathematics Applied Mathematics Self-Help, Personal Development & Practical Advice

Personal Finance Booktopia Publisher Services World Scientific Publishing Business & Management Business Mathematics & Systems Banking

Preface
Preliminaries
Introduction and Overview	p. 1
Mathematical Preparation	p. 21
Tools for Continuous-Time Models	p. 93
Pricing Theory
Dynamics-Free Pricing	p. 141
Pricing Under Bernoulli Dynamics	p. 177
Black-Scholes Dynamics	p. 257
American Options and 'Exotics'	p. 299
Models with Uncertain Volatility	p. 377
Discontinuous Processes	p. 411
Interest-Rate Dynamics	p. 455
Computational Methods
Simulation	p. 483
Solving P.D.E.s Numerically	p. 513
Programs	p. 533
Bibliography	p. 661
Index	p. 676
Table of Contents provided by Blackwell. All Rights Reserved.

Pricing Derivative Securities

At a Glance

New Edition

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

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