|  | |
| Identificatore numerico | 1917 |
| Identificatore completo | ClewlowStrickland98 |
| Autore/i | Clewlow, L.; Strickland, C. |
| Anno | 1998 |
| Titolo | Implementing Derivatives Models |
| Tipo di Pubblicazione | libro |
| Altre Informazioni | John Wiley & Sons, Chichester. |
| Keywords | Alberi binomiali - Alberi binomiali impliciti; Teorie term structure stocastiche - Modelli principali; Opzioni su titoli di debito - Pricing; Equazioni alle differenze finite - Applicazioni all'option pricing; Teorie term structure stocastiche - Modello di Black-Derman-Toy; Teorie term structure stocastiche - Modello di Heath-Jarrow-Morton; Opzioni - Estensioni Black-Scholes; Alberi binomiali - Applicazioni all'option pricing; Alberi trinomiali-multinomiali - Applicazioni all'option pricing |
| Abstract | The book explains, in detail, how to efficiently implement a wide range of models amd methods for pricing and hedging derivative securities. The book is divided into two main sections. The first deals with models, derived as a generalization of Black and Scholes (1973), applied in FX, equity and commodity markets or markets other than fixed income. Topics coverd are: the Black-Scholes model; the binomial method; Trinomial trees and finite difference methods, Monte Carlo simulation, implied trees and exotic options. The second section describes methods for implementing models constructued specifically for pricing interest rate derivatives. Topics covered are: valuation of debt instruments; term structure consistent models; binomial trees for the short rate from Black, Derman and Toy (1990); trinomial trees for the short rate; the Heath, Jarrow and Morton (1992) model The authors provide a great deal of examples and pricing routines written in a pseudo computer language. |
| Importanza | media |
 | |