Analytical and Numerical Methods for Pricing Financial Derivatives

Name: Analytical and Numerical Methods for Pricing Financial Derivatives
Price: 68.16 USD
Availability: InStock
ISBN: 9781617287800

ISBN-10: 1617287806

ISBN-13: 9781617287800

Edition: 2010

Authors: Daniel Sevcovic

List price: $129.00

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Description:

This book presents the reader with basic facts and knowledge of pricing financial derivatives. Also discussed herein is the qualitative analysis and practical methods of their pricing. The extensive expansion of various financial derivatives dates back to the beginning of seventies. The analysis of derivative securities was motivated by pioneering works due to economists Myron Scholes and Robert Merton and the theoretical physicist Fisher Black. They derived and analysed a pricing model nowadays referred to as the Black--Scholes model. The approach was indeed revolutionary as it brought the method of pricing derivative securities by means of solutions to partial differential equations.

Book details

List price: $129.00
Copyright year: 2010
Publisher: Nova Science Publishers, Incorporated
Publication date: 11/1/2011
Binding: Hardcover
Pages: 325
Size: 7.25" wide x 10.25" long x 0.75" tall
Weight: 1.738
Language: English



Introduction


The role of protecting financial portfolios


Black-Scholes & Merton model


European style of options


Analysis of dependence of option prices on model parameters


Option pricing under transaction costs


Modeling & pricing exotic financial derivatives


Short interest rate modeling


Pricing of interest rate derivatives


American types of derivative securities


Numerical methods for pricing of simple derivatives


Non-linear extensions of the Black-Scholes pricing model


Transformation methods for pricing American options


Calibration of interest rate & term structure models


Advanced topics in the term structure modeling


Index