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Analytical and Numerical Methods for Pricing Financial Derivatives
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Analytical and Numerical Methods for Pricing Financial Derivatives

Sevcovic, Daniel
ISBN-10: 1617287806
ISBN-13: 9781617287800

In our Marketplace:
1 new from $174.15
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.
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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

List price: $129.00
Edition: 2010
Publisher: Nova Science Publishers, Incorporated
Binding: Trade Cloth
Pages: 325
Size: 7.25" wide x 10.25" long x 0.75" tall
Weight: 1.74 lbs.
Language: English

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