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Quantitative Methods in Derivatives Pricing

Librairie Eyrolles - Paris 5e

Quantitative Methods in Derivatives Pricing

Quantitative Methods in Derivatives Pricing

An Introduction to Computational Finance

Domingo Tavella

286 pages


Quantitative Methods in Derivatives Pricing, researched and written by Domingo Tavella, one of the pioneers in the emergence of computational finance as a discipline in its own right, develops the main techniques and strategies of computational finance in a unified framework. From the plethora of methods that characterize a new discipline in a state of fluid evolution, this book concentrates on those that have proven to be sufficiently solid and robust to become a permanent part of the arsenal of strategies for pricing complex financial instruments. Either as a textbook or a reference source, this books emphasis is on practicality and applications.

As a textbook, this work fills a palpable need for adequate material in the ever-increasing number of program with an emphasis on sophisticated financial engineering. As a reference source, it provides a valuable overview of the most relevant methods and approaches of computational finance for those with adequate quantitative background entering the field of financial pricing.

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

Filled with numerous case studies and expert advice, Quantitative Methods in Derivatives Pricing offers the most complete look at proven computational techniques for derivatives pricing to date. You'll quickly learn about the pricing of derivatives in continuous time, how asset-pricing theory is used to set up the pricing problem, and how to implement simulation methods for pricing both European and early exercise derivatives.

This invaluable resource prepares you for the rigors of the modern financial world and puts you on the road to successful derivatives pricing.

Caractéristiques techniques

Éditeur(s) Wiley
Auteur(s) Domingo Tavella
Nb. de pages 286
Format 16 x 23,5
Couverture Relié
Poids 541g
Intérieur Noir et Blanc
EAN13 9780471394471
ISBN13 978-0-471-39447-1


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