Pricing derivative securities
by
 
Epps, T. W.

Title
Pricing derivative securities

Author
Epps, T. W.

ISBN
9789812700339

Personal Author
Epps, T. W.

Edition
2nd ed.

Publication Information
Hackensack, NJ : World Scientific Pub. Co. Pte. Ltd., c2007.

Physical Description
xv, 627 p. ; 24 cm. + 1 CD-ROM.

Contents
1. Introduction and overview -- 2. Mathematical preparation -- 3. Tools for continuous- time models -- 4. Dynamics-free pricing -- 5. Pricing under Bernoulli dynamics -- 6. Black-Scholes dynamics -- 7. American options and "exotics" -- 8. Models with uncertain volatility -- 9. Discontinuous processes -- 10. Interest-rate dynamics -- 11. Simulation -- 12. Solving P.D.E.s numerically -- 13. Programs.

Abstract
"This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods."--BOOK JACKET.

Subject Term
Derivative securities -- Prices -- Mathematical models.

Electronic Access
Table of contents only http://www.loc.gov/catdir/toc/ecip0711/2007006660.html


LibraryMaterial TypeItem BarcodeShelf NumberCopy
IIEMSAGeneral Books33168025495439332.6457 E64P 20071