Pricing Financial Instruments
The Finite Difference Method
Fr. 164.00
inkl. gesetzl. MwSt.Beschreibung
Details
Einband
Gebundene Ausgabe
Erscheinungsdatum
21.04.2000
Verlag
John Wiley & Sons IncSeitenzahl
238
Maße (L/B/H)
23.5/15.7/2 cm
Numerical methods for the solution of financial instrument pricing equations are fast becoming essential for practitioners of modern quantitative finance. Among the most promising of these new computational finance techniques is the finite difference method-yet, to date, no single resource has presented a quality, comprehensive overview of this revolutionary quantitative approach to risk management.
Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products-while purposely keeping mathematical complexity to a minimum-this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures.
From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization-and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology- Pricing Financial Instruments explores areas that include:
* Pricing equations and the relationship be-tween European and American derivatives
* Detailed analyses of different stability analysis approaches
* Continuous and discrete sampling models for path dependent options
* One-dimensional and multi-dimensional coordinate transformations
* Numerical examples of barrier options, Asian options, forward swaps, and more
With an emphasis on how numerical solutions work and how the approximations involved affect the accuracy of the solutions, Pricing Financial Instruments takes us through doors opened wide by Black, Scholes, and Merton-and the arbitrage pricing principles they introduced in the early 1970s-to provide a step-by-step outline for sensibly interpreting the output of standard numerical schemes. It covers the understanding and application of today's finite difference method, and takes the reader to the next level of pricing financial instruments and managing financial risk.
Praise for Pricing Financial Instruments
"Pricing Financial Instruments is the first broad and accessible treatment of finite difference methods for pricing derivative securities. The authors have taken great care to clearly explain both the origins of the pricing problems in a financial setting, as well as many practical aspects of their numerical methods. The book covers a wide variety of applications, such as American options and credit derivatives. Both financial analysts and academic asset-pricing specialists will want to own a copy."-Darrell Duffie, Professor of Finance Stanford University
"In my experience, finite difference methods have proven to be a simple yet powerful tool for numerically solving the evolutionary PDEs that arise in modern mathematical finance. This book should finally dispel the widely held notion that these methods are somehow difficult or abstract. I highly recommend it to anyone interested in the implementation of these methods in the financial arena."-Peter Carr, Principal Bank of America Securities
"A very comprehensive treatment of the application of finite difference techniques to derivatives finance. Practitioners will find the many extensive examples very valuable and students will appreciate the rigorous attention paid to the many subtleties of finite difference techniques."-Francis Longstaff, Professor The Anderson School at UCLA
"The finite difference approach is central to the numerical pricing of financial securities. This book gives a clear and succinct introduction to this important subject. Highly recommended."-Mark Broadie, Associate Professor School of Business, Columbia University
For updates on new and bestselling Wiley Finance books: wiley.com/wbns
Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products-while purposely keeping mathematical complexity to a minimum-this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures.
From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization-and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology- Pricing Financial Instruments explores areas that include:
* Pricing equations and the relationship be-tween European and American derivatives
* Detailed analyses of different stability analysis approaches
* Continuous and discrete sampling models for path dependent options
* One-dimensional and multi-dimensional coordinate transformations
* Numerical examples of barrier options, Asian options, forward swaps, and more
With an emphasis on how numerical solutions work and how the approximations involved affect the accuracy of the solutions, Pricing Financial Instruments takes us through doors opened wide by Black, Scholes, and Merton-and the arbitrage pricing principles they introduced in the early 1970s-to provide a step-by-step outline for sensibly interpreting the output of standard numerical schemes. It covers the understanding and application of today's finite difference method, and takes the reader to the next level of pricing financial instruments and managing financial risk.
Praise for Pricing Financial Instruments
"Pricing Financial Instruments is the first broad and accessible treatment of finite difference methods for pricing derivative securities. The authors have taken great care to clearly explain both the origins of the pricing problems in a financial setting, as well as many practical aspects of their numerical methods. The book covers a wide variety of applications, such as American options and credit derivatives. Both financial analysts and academic asset-pricing specialists will want to own a copy."-Darrell Duffie, Professor of Finance Stanford University
"In my experience, finite difference methods have proven to be a simple yet powerful tool for numerically solving the evolutionary PDEs that arise in modern mathematical finance. This book should finally dispel the widely held notion that these methods are somehow difficult or abstract. I highly recommend it to anyone interested in the implementation of these methods in the financial arena."-Peter Carr, Principal Bank of America Securities
"A very comprehensive treatment of the application of finite difference techniques to derivatives finance. Practitioners will find the many extensive examples very valuable and students will appreciate the rigorous attention paid to the many subtleties of finite difference techniques."-Francis Longstaff, Professor The Anderson School at UCLA
"The finite difference approach is central to the numerical pricing of financial securities. This book gives a clear and succinct introduction to this important subject. Highly recommended."-Mark Broadie, Associate Professor School of Business, Columbia University
For updates on new and bestselling Wiley Finance books: wiley.com/wbns
Weitere Bände von Wiley Series in Financial Engineering
-
Zur Artikeldetailseite von Dictionary of Financial Engineering des Autors John F. Marshall
John F. Marshall
Dictionary of Financial EngineeringBuch
Fr. 82.90
-
Zur Artikeldetailseite von Advanced Credit Risk Analysis des Autors Didier Cossin
Didier Cossin
Advanced Credit Risk AnalysisBuch
Fr. 218.00
-
Zur Artikeldetailseite von Handbook of Hybrid Instruments des Autors Izzy (Super Computer Consulting, Inc., Www Nelken
Izzy (Super Computer Consulting, Inc., Www Nelken
Handbook of Hybrid InstrumentsBuch
Fr. 183.00
-
Zur Artikeldetailseite von Interest Rate Modelling des Autors Jessica James
Jessica James
Interest Rate ModellingBuch
Fr. 218.00
-
Zur Artikeldetailseite von Pricing Financial Instruments des Autors Domingo Tavella
Domingo Tavella
Pricing Financial InstrumentsBuch
Fr. 164.00
-
Zur Artikeldetailseite von The Handbook of Equity Derivatives des Autors Francis Jack Clark Etc Toy Will
Francis Jack Clark Etc Toy Will
The Handbook of Equity DerivativesBuch
Fr. 176.00
-
Zur Artikeldetailseite von Implementing Value at Risk des Autors Philip Best
Philip Best
Implementing Value at RiskBuch
Fr. 182.00
-
Zur Artikeldetailseite von Risk Management and Analysis des Autors Alexander Carol
Alexander Carol
Risk Management and AnalysisBuch
Fr. 169.00
-
Zur Artikeldetailseite von Currency Derivatives des Autors Derosa David F.
Derosa David F.
Currency DerivativesBuch
Fr. 132.00
-
Zur Artikeldetailseite von Implementing Derivatives Models des Autors Les Clewlow
Les Clewlow
Implementing Derivatives ModelsBuch
Fr. 172.00
-
Zur Artikeldetailseite von Derivatives Handbook des Autors Schwartz Robert J. Smith Cliffor
Schwartz Robert J. Smith Cliffor
Derivatives HandbookBuch
Fr. 132.00
Unsere Kundinnen und Kunden meinen
Verfassen Sie die erste Bewertung zu diesem Artikel
Helfen Sie anderen Kund*innen durch Ihre Meinung
Erste Bewertung verfassen