Quantitative Modeling of Derivative Securities
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€192.20
A01=Marco Avellaneda
A01=Peter Laurence
advanced derivatives modeling techniques
arbitrage
ARBITRAGE PRICING THEORY
Author_Marco Avellaneda
Author_Peter Laurence
Binomial Model
Binomial Tree
black
Black Scholes Formula
Black Scholes PDE
Brownian Motion
Brownian Paths
Category=KFFM
Category=PBWH
Conditional Expectation
continuous time models
Derivative Securities
differential
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
equation
exotic option pricing
financial engineering
Forward Rate Curve
Forward Rate Volatilities
Forward Rates
Instantaneous Forward Rates
Ito Processes
Log Normal Approximation
martingale methods
measures
neutral
option valuation
Ordinary Differential Equations
pricing
quantitative finance
risk
Risk Neutral Measure
Risk Neutral Probability
Spot Price
stochastic
Stochastic Differential Equation
Stochastic Integral
Strike Price
Swap Rate
Term Structure Models
theory
Underlying Asset
Product details
- ISBN 9781584880318
- Weight: 780g
- Dimensions: 174 x 246mm
- Publication Date: 17 Sep 1999
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.
More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
Marco Avellaneda, Peter Laurence
