Quantitative Modeling of Derivative Securities
eBook - ePub

Quantitative Modeling of Derivative Securities

From Theory To Practice

  1. 336 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Quantitative Modeling of Derivative Securities

From Theory To Practice

Book details
Table of contents
Citations

About This Book

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach, "" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

Frequently asked questions

Simply head over to the account section in settings and click on “Cancel Subscription” - it’s as simple as that. After you cancel, your membership will stay active for the remainder of the time you’ve paid for. Learn more here.
At the moment all of our mobile-responsive ePub books are available to download via the app. Most of our PDFs are also available to download and we're working on making the final remaining ones downloadable now. Learn more here.
Both plans give you full access to the library and all of Perlego’s features. The only differences are the price and subscription period: With the annual plan you’ll save around 30% compared to 12 months on the monthly plan.
We are an online textbook subscription service, where you can get access to an entire online library for less than the price of a single book per month. With over 1 million books across 1000+ topics, we’ve got you covered! Learn more here.
Look out for the read-aloud symbol on your next book to see if you can listen to it. The read-aloud tool reads text aloud for you, highlighting the text as it is being read. You can pause it, speed it up and slow it down. Learn more here.
Yes, you can access Quantitative Modeling of Derivative Securities by Peter Laurence in PDF and/or ePUB format, as well as other popular books in Mathematics & Probability & Statistics. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Routledge
Year
2017
ISBN
9781351420464
Edition
1
Topic
Mathematics
Subtopic
Probability & Statistics
Index
Mathematics

Table of contents

  1. Cover Page
  2. Title Page
  3. Copyright Page
  4. Contents
  5. Introduction
  6. 1 Arbitrage Pricing Theory: The One-Period Model
  7. 2 The Binomial Option Pricing Model
  8. 3 Analysis of the Black–Scholes Formula
  9. 4 Refinements of the Binomial Model
  10. 5 American-Style Options, Early Exercise, and Time-Optionality
  11. 6 Trinomial Model and Finite-Difference Schemes
  12. 7 Brownian Motion and Ito Calculus
  13. 8 Introduction to Exotic Options: Digital and Barrier Options
  14. 9 Ito Processes, Continuous-Time Martingales, and Girsanov’s Theorem
  15. 10 Continuous-Time Finance: An Introduction
  16. 11 Valuation of Derivative Securities
  17. 12 Fixed-Income Securities and the Term-Structure of Interest Rates
  18. 13 The Heath–Jarrow–Morton Theorem and Multidimensional Term-Structure Models
  19. 14 Exponential-Affine Models
  20. 15 Interest-Rate Options
  21. Index