ISBN-10:
0471394475
ISBN-13:
9780471394471
Pub. Date:
05/02/2002
Publisher:
Wiley
Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance / Edition 1

Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance / Edition 1

by Domingo Tavella, Tavella

Hardcover

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Product Details

ISBN-13: 9780471394471
Publisher: Wiley
Publication date: 05/02/2002
Series: Wiley Finance Series , #124
Pages: 304
Product dimensions: 6.34(w) x 9.37(h) x 1.04(d)

About the Author

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.

Table of Contents

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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