Description

Book Synopsis
This text provides up-to-date coverage of the latest techniques in option modelling, including the Monte Carlo and Binomial methods. It is a source of practical pricing and hedging techniques for complex options, including interest rate exotics.

Table of Contents
The Binomial Methods.

Finite Difference Models.

The Monte Carlo Method.

Implied Trees .

Yield Curve Fitting Trees.

Applications to Exotic Options.

Conclusion.

Implementing Derivative Models

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    A Hardback by Les Clewlow, Chris Strickland

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      Publisher: John Wiley & Sons Inc
      Publication Date: Publication Date: 29/04/1998
      ISBN13: 9780471966517, 978-0471966517
      ISBN10: 0471966517
      Also in:
      Investment and securities

      Description

      Book Synopsis
      This text provides up-to-date coverage of the latest techniques in option modelling, including the Monte Carlo and Binomial methods. It is a source of practical pricing and hedging techniques for complex options, including interest rate exotics.

      Table of Contents
      The Binomial Methods.

      Finite Difference Models.

      The Monte Carlo Method.

      Implied Trees .

      Yield Curve Fitting Trees.

      Applications to Exotic Options.

      Conclusion.

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