Deals with pricing and hedging financial derivatives. Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory.The booksucceeds in presenting intuitively advanced derivative modelling it provides a useful bridge between introductory books and the more advanced literature. --MATHEMATICAL REVIEWS
to Option Pricing.- Asset Pricing Basics.- Continuous-Time Models.- Black-Scholes.- Estimating and Modelling Volatility.- to Monte Carlo and Binomial Models.- Advanced Option Pricing.- Foreign Exchange.- Forward, Futures, and Exchange Options.- Exotic Options.- More on Monte Carlo and Binomial Valuation.- Finite Difference Methods.- Fixed Income.- Fixed Income Concepts.- to Fixed Income Derivatives.- Valuing Derivatives in the Extended Vasicek Model.- A Brief Survey of Term Structure Models.
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