Pricing Derivative Securities (2nd Edition) (Paperback)
Language: English
Published by World Scientific Publishing Co Pte Ltd, Singapore, 2007
- Softcover
- New
Seller: AussieBookSeller, Truganina, VIC, AustraliaAussieBookSeller
AbeBooks seller since June 22, 2007
Condition: New
£ 98.05
Quantity: 1 available
Add to basketItem description from seller
Paperback. This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.…
Seller Inventory # 9789812833976
- Title
- Pricing Derivative Securities (2nd Edition) (Paperback)
- Author
- Thomas Wake Epps
- Publisher
- World Scientific Publishing Co Pte Ltd, Singapore
- Publication year
- 2007
- Condition
- new
- Binding
- Paperback
- Language
- English
- ISBN 10
- 9812833978
- ISBN 13
- 9789812833976
- Edition
- 2nd Edition
"Synopsis" may belong to another edition of this title.
AussieBookSeller
Truganina, VIC, Australia
AbeBooks seller since June 22, 2007
Shipping rates from Australia to U.S.A.
| Item | 25 to 45 business days | 8 to 14 business days |
|---|---|---|
| First item | £ 27.36 | £ 32.53 |
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The Nile Group Pty Ltd
42 Apex Drive
Truganina, VIC Australia 3029
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