Pricing derivative securities /:
The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementatio...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
River Edge, NJ :
World Scientific,
2000.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++. |
| Beschreibung: | 1 online resource (xv, 692 pages) |
| Bibliographie: | Includes bibliographical references (pages 661-675) and index. |
| ISBN: | 9789812792914 9812792910 |
Internformat
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| 245 | 1 | 0 | |a Pricing derivative securities / |c T.W. Epps. |
| 260 | |a River Edge, NJ : |b World Scientific, |c 2000. | ||
| 300 | |a 1 online resource (xv, 692 pages) | ||
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| 504 | |a Includes bibliographical references (pages 661-675) and index. | ||
| 505 | 0 | 0 | |g I. |t Preliminaries. |g 1. |t Introduction and Overview. |g 2. |t Mathematical Preparation. |g 3. |t Tools for Continuous-Time Models -- |g II. |t Pricing Theory. |g 4. |t Dynamics-Free Pricing. |g 5. |t Pricing Under Bernoulli Dynamics. |g 6. |t Black-Scholes Dynamics. |g 7. |t American Options and 'Exotics'. |g 8. |t Models with Uncertain Volatility. |g 9. |t Discontinuous Processes. |g 10. |t Interest-Rate Dynamics -- |g III. |t Computational Methods. |g 11. |t Simulation. |g 12. |t Solving P.D.E.s Numerically. |g 13. |t Programs. |
| 588 | 0 | |a Print version record. | |
| 520 | |a The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++. | ||
| 650 | 0 | |a Derivative securities |x Prices |x Mathematical models. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Prix |x Modèles mathématiques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |x Prices |x Mathematical models |2 fast | |
| 650 | 7 | |a DERIVATIVOS. |2 larpcal | |
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Datensatz im Suchindex
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| _version_ | 1816796907121410048 |
| adam_text | |
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| author | Epps, T. W. |
| author_facet | Epps, T. W. |
| author_role | |
| author_sort | Epps, T. W. |
| author_variant | t w e tw twe |
| building | Verbundindex |
| bvnumber | localFWS |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
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| contents | Preliminaries. Introduction and Overview. Mathematical Preparation. Tools for Continuous-Time Models -- Pricing Theory. Dynamics-Free Pricing. Pricing Under Bernoulli Dynamics. Black-Scholes Dynamics. American Options and 'Exotics'. Models with Uncertain Volatility. Discontinuous Processes. Interest-Rate Dynamics -- Computational Methods. Simulation. Solving P.D.E.s Numerically. Programs. |
| ctrlnum | (OCoLC)824698655 |
| dewey-full | 332.63/2 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2 |
| dewey-search | 332.63/2 |
| dewey-sort | 3332.63 12 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn824698655 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:08Z |
| institution | BVB |
| isbn | 9789812792914 9812792910 |
| language | English |
| oclc_num | 824698655 |
| open_access_boolean | |
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| physical | 1 online resource (xv, 692 pages) |
| psigel | ZDB-4-EBU |
| publishDate | 2000 |
| publishDateSearch | 2000 |
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| publisher | World Scientific, |
| record_format | marc |
| spelling | Epps, T. W. Pricing derivative securities / T.W. Epps. River Edge, NJ : World Scientific, 2000. 1 online resource (xv, 692 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references (pages 661-675) and index. I. Preliminaries. 1. Introduction and Overview. 2. Mathematical Preparation. 3. Tools for Continuous-Time Models -- II. Pricing Theory. 4. Dynamics-Free Pricing. 5. Pricing Under Bernoulli Dynamics. 6. Black-Scholes Dynamics. 7. American Options and 'Exotics'. 8. Models with Uncertain Volatility. 9. Discontinuous Processes. 10. Interest-Rate Dynamics -- III. Computational Methods. 11. Simulation. 12. Solving P.D.E.s Numerically. 13. Programs. Print version record. The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++. Derivative securities Prices Mathematical models. Instruments dérivés (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices Mathematical models fast DERIVATIVOS. larpcal Print version: Epps, T.W. Pricing derivative securities. River Edge, NJ : World Scientific, 2000 9810242980 (DLC) 00033564 (OCoLC)43985468 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514180 Volltext |
| spellingShingle | Epps, T. W. Pricing derivative securities / Preliminaries. Introduction and Overview. Mathematical Preparation. Tools for Continuous-Time Models -- Pricing Theory. Dynamics-Free Pricing. Pricing Under Bernoulli Dynamics. Black-Scholes Dynamics. American Options and 'Exotics'. Models with Uncertain Volatility. Discontinuous Processes. Interest-Rate Dynamics -- Computational Methods. Simulation. Solving P.D.E.s Numerically. Programs. Derivative securities Prices Mathematical models. Instruments dérivés (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices Mathematical models fast DERIVATIVOS. larpcal |
| title | Pricing derivative securities / |
| title_alt | Preliminaries. Introduction and Overview. Mathematical Preparation. Tools for Continuous-Time Models -- Pricing Theory. Dynamics-Free Pricing. Pricing Under Bernoulli Dynamics. Black-Scholes Dynamics. American Options and 'Exotics'. Models with Uncertain Volatility. Discontinuous Processes. Interest-Rate Dynamics -- Computational Methods. Simulation. Solving P.D.E.s Numerically. Programs. |
| title_auth | Pricing derivative securities / |
| title_exact_search | Pricing derivative securities / |
| title_full | Pricing derivative securities / T.W. Epps. |
| title_fullStr | Pricing derivative securities / T.W. Epps. |
| title_full_unstemmed | Pricing derivative securities / T.W. Epps. |
| title_short | Pricing derivative securities / |
| title_sort | pricing derivative securities |
| topic | Derivative securities Prices Mathematical models. Instruments dérivés (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. bisacsh Derivative securities Prices Mathematical models fast DERIVATIVOS. larpcal |
| topic_facet | Derivative securities Prices Mathematical models. Instruments dérivés (Finances) Prix Modèles mathématiques. BUSINESS & ECONOMICS Investments & Securities General. Derivative securities Prices Mathematical models DERIVATIVOS. |
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