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Quantitative Modeling of Derivative Securities. From Theory to Practice.

Quantitative Modeling of Derivative Securities. From Theory to Practice.

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  • ISBN:9781584880318
  • Editorial: Chapman & Hall Co.
  • Fecha de la edición:
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  • Nº Pág.:336
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" This fine treatment of the arbitrage pricing of derivatives will become a standard. Avellaneda and Laurence have brought their extensive combined knowledge in mathematics and financial practice into a highly readable source, which graduate students and financial analysts will find both concrete and authoritative". Darrell Duffie, Professor of Finance, Stanford University.

Arbritrage pricing theory; the one-period model. The binomial option pricing model. Analysis of the Black-Scholes formula. Refinements of the binomial model. American-style options, early exercise, and time-optionality. Trinomial model and finite-difference schemes. Brownian motion and Ito calculus. INtroduction to exotic options; digital and barrier options. Ito processes, continuous-time martingales, and Girsanov's theorem. Continuous-time finance; an introduction. Valuation of derivative securities. Fixed-income securities and the term-structure of interest rates. The Hearh-Jarrow-Morton theorem and multidimensional term-structure models. Exponential-afine models. Interest-rate options.

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