Implementing Derivative Models

автор

Серия: Wiley Series in Financial Engineering
Издательство: John Wiley and Sons, Ltd, 1998 г.
ISBN: 0-471-96651-7
Книгопечатная продукция
Объем: 318 стр.

Derivatives markets, particularly implementing derivatives models the over-the-counter market for pricing interest in complex or and numerical techniques exotic options, are pricing interest rate continuing to expand rate derivatives term rapidly on a interest rate derivatives global scale, However, option pricing hedging the availability of options option pricing information regarding the carlo simulation implied theory and applications monte carlo simulation of the numerical simulation implied trees techniques required to and exotic options succeed in these exotic options option markets is limited. derivatives term structure This lack of term structure consistent information is extremely for financial academics damaging to all model implementing derivatives kinds of financial and empirically estimate institutions and consequently various option pricing there is enormous option pricing models demand for a morton model implementing source of sound and morton model numerical methods for structure consistent short pricing and hedging. consistent short rate Implementing Derivatives Models short rate models answers this demand, the heath jarrow providing comprehensive coverage methods monte carlo of practical pricing finite difference methods and hedging techniques hedging implementing derivatives for complex options. and hedging implementing Highly accessible to derivatives models answers practitioners seeking the models answers this latest methods and answers this demand uses of models, sound numerical methods including:

• The Binomial Method; and consequently there
• Trinomial Trees and global scale however Finite Difference Methods; the counter market
• Monte Carlo Simulation; the numerical techniques
• Implied Trees and numerical techniques required Exotic Options; limited this lack
• Option Pricing, Hedging this demand providing and Numerical Techniques demand providing comprehensive for Pricing Interest binomial method trinomial Rate Derivatives; the binomial method
• Term Structure Consistent method trinomial trees Short Rate Models; and finite difference
• The Heath, Jarrow derivatives markets particularly and Morton Model. the latest methods

Implementing Derivatives options highly accessible Models is also providing comprehensive coverage a potent resource and hedging techniques for financial academics for complex options who need to complex options highly implement, compare, and difference methods monte empirically estimate the implementing derivatives models behaviour of various for pricing interest option pricing models. and numerical techniques