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Author Tavella, Domingo, 1948-

Title Pricing financial instruments : the finite difference method / Domingo Tavella, Curt Randall
Published New York : John Wiley & Sons, [2000]


Location Call no. Vol. Availability
 MELB  332.645 Tav/Pfi  AVAILABLE
Description xv, 237 pages : illustrations ; 24 cm
Series Wiley series in financial engineering
Wiley series in financial engineering.
Contents Machine derived contents note: The Pricing Equations. -- Analysis of Finite Difference Methods. -- Special Issues. -- Coordinate Transformations. -- Numerical Examples. -- Index
Summary "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."--BOOK JACKET
Bibliography Includes bibliographical references and index
Subject Derivative securities -- Mathematics.
Financial instruments -- Prices.
Options (Finance) -- Prices.
Author Randall, Curt, 1951-
LC no. 99054917
ISBN 0471197602 (cloth : alk. paper)