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Quantitative Methods in Derivative Pricing: An Introduction to Computational Finance Hardcover - 2002
by Tavella, Domingo
- Used
- Hardcover
Description
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Details
- Title Quantitative Methods in Derivative Pricing: An Introduction to Computational Finance
- Author Tavella, Domingo
- Binding Hardcover
- Edition 1st
- Pages 304
- Volumes 1
- Language ENG
- Publisher John Wiley and Sons, New York, NY, U.S.A.
- Date 2002
- Illustrated Yes
- Features Bibliography, Dust Cover, Illustrated, Index
- Bookseller's Inventory # 8996930
- ISBN 9780471394471 / 0471394475
- Weight 1.18 lbs (0.54 kg)
- Dimensions 9.72 x 6.6 x 1.05 in (24.69 x 16.76 x 2.67 cm)
- Library of Congress subjects Derivative securities - Prices -, Finance - Mathematical models
- Library of Congress Catalog Number 2002071363
- Dewey Decimal Code 332.645
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From the publisher
First line
From the jacket flap
* 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.