Quantitative Methods in Derivative Pricing: An Introduction to Computational Finance

Tavella, Domingo

ISBN 10: 0471394475 / ISBN 13: 9780471394471

Published by John Wiley and Sons, 2002

About this Item

This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings. In good all round condition. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,650grams, ISBN:0471394475.

Seller Inventory # 8996930

Bibliographic Details

• Title: Quantitative Methods in Derivative Pricing: An Introduction to Computational Finance
• Publisher: John Wiley and Sons
• Publication Date: 2002
• Language: English
• ISBN 10: 0471394475
• ISBN 13: 9780471394471
• Binding: Hardcover
• Condition: Good
• Seller catalogs:
  • Economics

About this title

Synopsis

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies.
Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

About the Author

DOMINGO A. TAVELLA is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and Chief Editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.