Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance
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Book Description
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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Quantitative Methods in Derivatives Pricing
Quantitative Methods in Derivatives Pricing, researched and written by Domingo Tavella, one of the pioneers in the emergence of computational finance as a discipline in its own right, develops the main techniques and strategies of computational finance in a unified framework. From the plethora of methods that characterize a new discipline in a state of fluid evolution, this book concentrates on those that have proven to be sufficiently solid and robust to become a permanent part of the arsenal of strategies for pricing complex financial instruments. Either as a textbook or a reference source, this book's emphasis is on practicality and applications.
As a textbook, this work fills a palpable need for adequate material in the ever-increasing number of programs with an emphasis on sophisticated financial engineering. As a reference source, it provides a valuable overview of the most relevant methods and approaches of computational finance for those with adequate quantitative background entering the field of financial pricing. Topics discussed include:
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.
Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance
Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance,Domingo Tavella,Wiley,0471394475,Accounting - General,Business & Economics,Business / Economics / Finance,Business/Economics,Corporate Finance,Credit derivatives,Derivative securities,Finance,Investment Analysis,Investments & Securities - General,Mathematical models,Prices,Business & Economics / Finance,Investment & securities
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