|
|
|
PRICING DERIVATIVE SECURITIES
by T W Epps (University of Virginia, USA)
The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++.
Pricing Derivative Securities (2nd Edition)
Contents:
- Preliminaries:
- Introduction and Overview
-
Mathematical Preparation
- Tools for Continuous-Time Models
- Pricing Theory:
- Dynamics-Free Pricing
- Pricing Under Bernoulli Dynamics
- Black-Scholes Dynamics
- American Options and 'Exotics'
- Models with Uncertain Volatility
- Discontinuous Processes
- Interest-Rate Dynamics
- Computational Methods:
- Simulation
- Solving PDEs Numerically
- Programs
- Computer Programs
- Errata
Readership: Doctoral students in finance or financial economics,
MA-level students in mathematical finance or computational finance, practitioners working in financial derivatives, and researchers.
"... the book is a substantial and worthwhile contribution to the literature ... Its strength is that it does cover so much: the mathematics, the applications to pricing, and the practical implementations are all discussed in one volume. The author has made a commendable effort trying to explain subtle ideas; usually he has succeeded. He has given an excellent overview of much of the recent literature. The book will be a valuable reference for students in the more quantitative PhD and MBA programs. It is certainly a book which should be on every financial engineer's shelf."
"The book will be interesting for financial academics and for practitioners working in financial derivatives."
| 712pp |
Pub. date: Jun 2000 |
Request for inspection copy
|
|
