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• catalog abstract ""Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products - while purposely keeping mathematical complexity to a minimum - this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures." "From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization - and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology - Pricing Financial Instruments explores areas that include: pricing equations and the relationship between European and American derivatives; detailed analyses of different stability analysis approaches; continuous and discrete sampling models for path dependent options; one-dimensional and multi-dimensional coordinate transformations; and numerical examples of barrier options, Asian options, forward swaps, and more."--Jacket.".
• catalog contributor b11639223.
• catalog contributor b11639224.
• catalog created "c2000.".
• catalog date "2000".
• catalog date "c2000.".
• catalog dateCopyrighted "c2000.".
• catalog description ""From a summary of stochastic pricing processes and arbitrage pricing arguments, through the analysis of numerical schemes and the implications of discretization - and ending with case studies that are simple yet detailed enough to demonstrate the capabilities of the methodology - Pricing Financial Instruments explores areas that include: pricing equations and the relationship between European and American derivatives; detailed analyses of different stability analysis approaches; continuous and discrete sampling models for path dependent options; one-dimensional and multi-dimensional coordinate transformations; and numerical examples of barrier options, Asian options, forward swaps, and more."--Jacket.".
• catalog description ""Pricing Financial Instruments, researched and written by Domingo Tavella and Curt Randall, two of the chief proponents of the finite difference method, presents a logical framework for applying the method of finite difference to the pricing of financial derivatives. Detailing the algorithmic and numerical procedures that are the foundation of both modern mathematical finance and the creation of financial products - while purposely keeping mathematical complexity to a minimum - this long-awaited book demonstrates how the techniques described can be used to accurately price simple and complex derivative structures."".
• catalog description "Includes bibliographical references and index.".
• catalog description "Stochastic Processes -- Markov Processes -- Stochastic Differential Equations -- Ito's Formula -- Ito's Formula for Processes with Jumps -- Arbitrage Pricing Theory -- Change of Measure -- The Pricing Equations -- European Derivatives -- Hedging Portfolio Approach -- Feynman-Kac Approach -- The Pricing Equation in the Presence of Jumps -- An Application of Jump Processes: Credit Derivatives -- Defaultable Bonds -- Full Protection Credit Put -- American Derivatives -- Relationship between European and American Derivatives -- American Options as Dynamic Optimization Problems -- Conditions at Exercise Boundaries -- Linear Complementarity Formulation of American Option Pricing -- Path Dependency -- Discrete Sampling of Path Dependency -- Dimensionality Reduction -- Reformulating the Underlying Processes in a Different Measure -- Currency Translated Options -- Equations for the Hedging Parameters -- Computation of Greeks by Direct Discretization -- Computation of Greeks through Their Governing Equations -- Analysis of Finite Difference Methods -- Motivation -- Constructing Finite Difference Approximations -- Stability Analysis: Matrix Approach -- Space Discretization -- Time Discretization -- Analysis of Specific Algorithms -- Eigenvalue Analysis of the Black-Scholes Equation -- Stability Analysis: Fourier Approach -- Implementation of the Time Advancement -- Solving Sparse Systems of Linear Equations -- Finite Difference Approach to American Options -- The Linear Complementarity Problem -- Distortions Induced by Discretization.".
• catalog extent "xv, 237 p. :".
• catalog identifier "0471197602 (cloth : alk. paper)".
• catalog isPartOf "Wiley series in financial engineering".
• catalog issued "2000".
• catalog issued "c2000.".
• catalog language "eng".
• catalog publisher "New York : John Wiley & Sons,".
• catalog subject "332.64/5 21".
• catalog subject "Financial instruments Prices.".
• catalog subject "HG6024.A3 T38 2000".
• catalog subject "Options (Finance) Prices.".
• catalog tableOfContents "Stochastic Processes -- Markov Processes -- Stochastic Differential Equations -- Ito's Formula -- Ito's Formula for Processes with Jumps -- Arbitrage Pricing Theory -- Change of Measure -- The Pricing Equations -- European Derivatives -- Hedging Portfolio Approach -- Feynman-Kac Approach -- The Pricing Equation in the Presence of Jumps -- An Application of Jump Processes: Credit Derivatives -- Defaultable Bonds -- Full Protection Credit Put -- American Derivatives -- Relationship between European and American Derivatives -- American Options as Dynamic Optimization Problems -- Conditions at Exercise Boundaries -- Linear Complementarity Formulation of American Option Pricing -- Path Dependency -- Discrete Sampling of Path Dependency -- Dimensionality Reduction -- Reformulating the Underlying Processes in a Different Measure -- Currency Translated Options -- Equations for the Hedging Parameters -- Computation of Greeks by Direct Discretization -- Computation of Greeks through Their Governing Equations -- Analysis of Finite Difference Methods -- Motivation -- Constructing Finite Difference Approximations -- Stability Analysis: Matrix Approach -- Space Discretization -- Time Discretization -- Analysis of Specific Algorithms -- Eigenvalue Analysis of the Black-Scholes Equation -- Stability Analysis: Fourier Approach -- Implementation of the Time Advancement -- Solving Sparse Systems of Linear Equations -- Finite Difference Approach to American Options -- The Linear Complementarity Problem -- Distortions Induced by Discretization.".
• catalog title "Pricing financial instruments : the finite difference method / Domingo Tavella, Curt Randall.".
• catalog type "text".