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Implementing Derivatives Models By: Les Clewlow, Chris Strickland Normal price: 70 Our price: 42 + postage Bargain: save £28 ! Product code: 3784 ISBN: 0471966517 310 pages Format: Hb Published by: John Wiley & Sons, 1998, 1st edition There are no reviews available for this book Description of Implementing Derivatives Models Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale. However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial instruments and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging. Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models, including: - The Binomial Method - Trinomial Trees and Finite Difference Methods - Monte Carlo Simulation - Implied Trees and Exotic Options - Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives - Term Structure Consistent Short Rate Models - The Heat Jarrow and Morton Model Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models. Implementing Derivatives Models - Chapter headings Preface Acknowledgements Notation PART One: Implementing Models in a Generalised Black-Scholes World 1. The Black-Scholes World, Option Pricing and Numerical Techniques 2. The Binomial Method 3. Trinomial Trees and Finite Difference Methods 4. Monte Carlo Simulation 5. Implied Trees and Exotic Options PART Two: Implementing Interest Rate Models 6. Option Pricing and Hedging and Numerical Techniques for Pricing Interest Rate Derivatives 7. Term Structure Consistent Models 8. Constructing Binomial Trees for the Short Rate 9. Constructing Trinomial Trees for the Short Rate 10. The Heath, Jarrow and Morton Model References Index