Description
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Finance/Investment
About the Author
Les Clewlow and Chris Strickland both hold positions at the Financial Options Research Centre, Warwick University, UK, at the School of Finance and Economics, University of Technology Sydney, Australia, and the Instituto de Estudios Superiores de Administracion, Caracas, Venezuela. They are also both principals of Lacima Consultants specialising in derivatives pricing and risk management education and software.
Book Information
ISBN 9780471966517
Author Les Clewlow
Format Hardback
Page Count 336
Imprint John Wiley & Sons Inc
Publisher John Wiley & Sons Inc
Weight(grams) 709g
Dimensions(mm) 253mm * 178mm * 25mm