Analytical and numerical methods for pricing financial derivatives
By: Daniel Sevcovic
Publisher: Nova Science Publisher's; Nova Science Publishers
Published: 2010
Place of publication: Hauppauge, N.Y
Language: eng
Number of pages: 309
ISBN-13: 9781617287800
Notes: Includes index.
Table of contents: title: The role of protecting financial portfolios; title: Black-Scholes and Merton model; title: European style of options; title: Analysis of dependence of option prices on model parameters; title: Option pricing under transaction costs; title: Modeling and pricing exotic financial derivatives; title: Short interest rate modeling; title: Pricing of interest rate derivatives; title: American types of derivative securities; title: Numerical methods for pricing of simple derivatives; title: Nonlinear extensions of the Black-Scholes pricing model; title: Transformation methods for pricing American options; title: Calibration of interest rate and term structure models; title: Advanced topics in the term structure modeling.