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- catalog abstract "This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments.".
- catalog alternative "Derivatives".
- catalog contributor b10996351.
- catalog contributor b10996352.
- catalog created "c1996.".
- catalog date "1996".
- catalog date "c1996.".
- catalog dateCopyrighted "c1996.".
- catalog description "Includes bibliographical references and index.".
- catalog description "Part I. Stochastic Volatility. 1. Introduction -- 2. The Pricing of Options on Assets with Stochastic Volatitlities -- 3. An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility -- 4. Hedging the Risks from Writing Foreign Currency Options --- Part II. Numerical Procedures. 5. Introduction -- 6. Valuing Derivative Securities Using the Explicit Finite Difference Method -- 7. The Use of the Control Variate Technique in Option Pricing -- 8. Efficient Procedures for Valuing European and American Path-dependent Options --- Part III. Credit Risk. 9. Introduction -- 10. Assessing Credit Risk in a Financial Institution's Off-balance Sheet Commitments -- 11. The Impact of Default Risk on the Valuation of Options and Other Derivative Securities --- Part IV. Term Structure Models: Theory. 12. Introduction -- 13. Pricing Interest Rate Derivative Securities -- 14. Bond Option Pricing Based on a Model for the Evolution of Bond Prices -- 15. The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model --- Part V. Term Structure Models: Implementation. 16. Introduction -- 17. Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities -- 18. Numerical procedures for Implementing Term Structure Models -- Single-Factor Models -- 19. Numerical Procedures for Implementing Term Structure Models -- Two-Factor Models -- 20. Using Hull-White Interest Rate Trees.".
- catalog description "This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments.".
- catalog extent "356 p. :".
- catalog identifier "1899332456".
- catalog issued "1996".
- catalog issued "c1996.".
- catalog language "eng".
- catalog publisher "London : Risk Publications,".
- catalog subject "332.645 21".
- catalog subject "Derivative securities.".
- catalog subject "Financial futures.".
- catalog subject "HG6024.A3 H83 1996".
- catalog tableOfContents "Part I. Stochastic Volatility. 1. Introduction -- 2. The Pricing of Options on Assets with Stochastic Volatitlities -- 3. An Analysis of the Bias in Option Pricing Caused by a Stochastic Volatility -- 4. Hedging the Risks from Writing Foreign Currency Options --- Part II. Numerical Procedures. 5. Introduction -- 6. Valuing Derivative Securities Using the Explicit Finite Difference Method -- 7. The Use of the Control Variate Technique in Option Pricing -- 8. Efficient Procedures for Valuing European and American Path-dependent Options --- Part III. Credit Risk. 9. Introduction -- 10. Assessing Credit Risk in a Financial Institution's Off-balance Sheet Commitments -- 11. The Impact of Default Risk on the Valuation of Options and Other Derivative Securities --- Part IV. Term Structure Models: Theory. 12. Introduction -- 13. Pricing Interest Rate Derivative Securities -- 14. Bond Option Pricing Based on a Model for the Evolution of Bond Prices -- 15. The Pricing of Options on Interest Rate Caps and Floors Using the Hull-White Model --- Part V. Term Structure Models: Implementation. 16. Introduction -- 17. Single-factor Interest Rate Models and the Valuation of Interest Rate Derivative Securities -- 18. Numerical procedures for Implementing Term Structure Models -- Single-Factor Models -- 19. Numerical Procedures for Implementing Term Structure Models -- Two-Factor Models -- 20. Using Hull-White Interest Rate Trees.".
- catalog title "Derivatives".
- catalog title "Hull-White on derivatives : a compilation of articles / by John Hull and Alan White.".
- catalog type "text".