Quantitative Methods in Derivatives Pricing - An Introduction to Computational Finance

Autor: Domingo Tavella

Język:

Oprawa: Twarda

Wydawca: John Wiley & Sons Inc

Dostępność: Dostępna u dostawcy

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This book presents a cogent description of the main methodologies used in derivatives pricing. Start...

Informacje o książce

Autor

Domingo Tavella

Język

Angielski

Oprawa

Książka - Twarda

Data wydania

2002

strony

304

EAN

9780471394471

ISBN

0471394475

Enbook ID

04890502

Wydawca

John Wiley & Sons Inc

Waga

644

Wymiary

166 x 242 x 23

Pełny opis

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

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