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Implementing Derivatives Models
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| Author(s): |
Les Clewlow and Chris Strickland |
| Publisher: |
Chichester ; Wiley, 1998. |
| Availability: |
1 in stock |
| Price: |
€50.00 |
Reference |
| ISBN: |
0471966517 |
| Category: |
Maths |
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Notes
Includes bibliographical references (p. [300]-303) and index.
Pt. 1. Implementing Models in a Generalised Black-Scholes World. Ch. 1. The Black-Scholes World, Option Pricing and Numerical Techniques. Ch. 2. The Binomial Method. Ch. 3. Trinomial Trees and Finite Difference Methods. Ch. 4. Monte Carlo Simulation. Ch. 5. Implied Trees and Exotic Options -- Pt. 2. Implementing Interest Rate Models. Ch. 6. Option Pricing and Hedging and Numerical Techniques for Pricing Interest Rate Derivatives. Ch. 7. Term Structure Consistent Models. Ch. 8. Constructing Binomial Trees for the Short Rate. Ch. 9. Constructing Trinomial Trees for the Short Rate. Ch. 10. The Heath, Jarrow and Morton Model.
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