In modern derivatives trading, Black-Scholes theory is only a starting point. Asset volatilities are not constant, but change with market conditions. Large price moves are associated with periods of market turbulence and this leads to a smile shaped curve of the volatility impli…
In modern derivatives trading, Black-Scholes theory is only a starting point. Asset volatilities are not constant, but change with market conditions. Large price moves are associated with periods of market turbulence and this leads to a smile shaped curve of the volatility impli…
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit …
This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit …
As today's financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how…
As today's financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how…
I Pricing and ValuationStochastic Processes and Risk-Neutral Pricing Characteristic FunctionStochastic Models of Asset PricesValuing Derivatives under Various MeasuresTypes of DerivativesDerivatives Pricing via Transform TechniquesDerivatives Pricing via the Fast Fourier Transfo…