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Note: purchasing is through Amazon. Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale.
However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited.
This lack of information is extremely damaging to all kinds of financial instruments and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options.
Highly accessible to practitioners seeking the latest methods and uses of models. 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. Authors have succeeded remarkably well in providing students and practitioners with a book on derivatives concentrating purely on numerical methods. The writing and notation is clear and free of unnecessary stuff.
Focus is never lost. Almost all aspects that are relevant are covered. Well, what can I say? In conclusion, an outstanding book, well worth the price.
The authors could not have done a better job. The extensive section on interest rate derivatives is much clearer than most other books. Register Login Help Desk. Why Lacima? My Cart. The Binomial Method 3. Trinomial Trees and Finite Difference Methods 4. Monte Carlo Simulation 5. Term Structure Consistent Models 8.
Constructing Binomial Trees for the Short Rate 9. Constructing Trinomial Trees for the Short Rate About Us.
Implementing derivatives models
Numerous and frequently-updated resource results are available from this WorldCat. This text provides up-to-date coverage of the latest techniques in option modelling, including the Monte Carlo and Binomial methods. It is a source of practical pricing and hedging techniques for complex options, including interest rate exotics. Read more
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Strategy, Value and Risk pp Cite as. The Black—Scholes GBM model can be generalized to other models that are more realistic for particular markets. The various simple extensions to the Black—Scholes model assume constant parameters for ease of calculation. In reality the properties of time series such as volatility, mean reversion, long-term levels and jump behavior will at the very least vary through time with reasonably predictable patterns. These characteristics can be included in spot models. Unable to display preview.