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- Product code: 15472
- ISBN: 0471394475,
ISBN13: 9780471394471,
304 pages, hardback
Published by John Wiley & Sons Inc on 2002
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Description of Quantitative Methods in Derivatives Pricing |
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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Contents of Quantitative Methods in Derivatives Pricing |
Arbitrage and Pricing
Fundamentals of Stochastic Calculus
Pricing in Continuous Time
Scenario Generation
European Pricing with Simulation
Simulation for Early Exercise
Finite Differences
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About Domingo Tavella |
DOMINGO A. 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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