Text

Pricing financial instruments : the finite difference method

---

"Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products - while purposely keeping mathematical complexity to a minimum - this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures."From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization - and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology - Pricing Financial Instruments explores areas that include: pricing equations and the relationship between European and American derivatives; detailed analyses of different stability analysis approach; continuous and discrete sampling models for path-dependent options; one-dimensional and multi-dimensional coordinate transformations; and numerical examples of barrier options, Asian options, forward swaps, and more."--Jacket.

---

Availability

T000107

42708125

Available

Detail Information

Series Title

Wiley series in financial engineering

Call Number

42708125

Publisher

New York : John Wiley & Sons., 2000

Collation

xv, 237 pages : illustrations ; 24 cm.

Language

English

ISBN/ISSN

0471197602, 9780471197607

Classification

658

Content Type

-

Media Type

-

Carrier Type

-

Edition

-

Subject(s)

-

Specific Detail Info

-

Statement of Responsibility

-

Other version/related

File Attachment

Comments

---

You must be logged in to post a comment