Implementing Derivatives Models by Les Clewlow and Chris Strickland at the Global Investor Bookshop

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Product code: 3784 ISBN: 0471966517, ISBN13: 9780471966517, 330 pages, hardback Published by John Wiley & Sons on 1998 , 1st Rate this book... Currently 0.00/5 1 2 3 4 5 Rating: 0.0/5 (0 votes cast) Write a review of this book Your Name : (as you wish it to appear on this site, optional) Your Review: Reviews are subject to our Terms and Conditions

Description of Implementing Derivatives Models
Derivatives markets are continuing to expand all over the world. In particular the over-the-counter market in complex/exotic options is continuing to expand both in volume and complexity. New and more complex options continue to appear and they generally require numerical techniques to price and hedge. This text provides up-to-date coverage of the latest techniques in option modelling, including the Monte Carlo and Binomial methods. It is a source of practical pricing and hedging techniques for complex options, including interest rate exotics.
Contents of Implementing Derivatives Models
Preface Acknowledgements Notation PART One: Implementing Models in a Generalised Black-Scholes World 1. The Black-Scholes World, Option Pricing and Numerical Techniques 2. The Binomial Method 3. Trinomial Trees and Finite Difference Methods 4. Monte Carlo Simulation 5. Implied Trees and Exotic Options PART Two: Implementing Interest Rate Models 6. Option Pricing and Hedging and Numerical Techniques for Pricing Interest Rate Derivatives 7. Term Structure Consistent Models 8. Constructing Binomial Trees for the Short Rate 9. Constructing Trinomial Trees for the Short Rate 10. The Heath, Jarrow and Morton Model References Index

Implementing Derivatives Models