Implementing derivatives models Les Clewlow and Chris Strickland.
By: Clewlow, Les
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Contributor(s): Strickland, Chris.
Series: Wiley series in financial engineering.Chichester New York Wiley 1998Description: viii, 309 páginas ilustrado 25 cm.ISBN: 0471966517.Subject(s): Derivative securities -- Mathematical models | Valor derivado -- Modelo matemáticoDDC classification: 332.645 Online resources: Contributor biographical information | Publisher description | Table of Contents | Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros
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Biblioteca Central | General | 332.645 / C635i (Browse shelf) | Ej.1 | Available | 8000022249 |
Incluye referencias bibliográficas (p. [300]-303)e índice.
The black-scholes world, option pricing and numerical techniques -- The binomial method -- Trinomial trees and finite difference methods -- Monte Carlo simulation -- Implied trees and exotic options -- Option pricing and hedging and numerical techniques for pricing interest rate derivatives -- Term structure consistent models -- Constructing binomial trees for the short rate -- Constructing trinomial trees for the short rate -- The heath, Jarrow and Morton model
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