Overview

Full Product Details

Author:   Omur Ugur (Middle East Technical Univ, Turkey)
Publisher:   Imperial College Press
Imprint:   Imperial College Press
Volume:   1
Dimensions:   Width: 16.00cm , Height: 1.90cm , Length: 23.00cm
Weight:   0.603kg
ISBN:  

9781848161924

ISBN 10:   1848161921
Pages:   316
Publication Date:   29 December 2008
Audience:   College/higher education ,  Professional and scholarly ,  Undergraduate ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   Out of stock  
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Table of Contents

Fixed-Income Securities, Portfolio Management, and Mean-Variance Portfolio Optimization; Options and the No-Arbitrage Principle; Binomial Model, Valuation of European and American Options; Stochastic Integral and the Ito Lemma, Applications, Derivation and Solution of the Black-Scholes Equation and the Greeks; Pseudo-Random Numbers, Transformation of Random Variables, Generating Normal and Other Variates, Box-Muller and Marsaglia Methods; Option Pricing by Monte Carlo Simulations, Variance Reduction Techniques, and the Quasi-Monte Carlo Simulations; Finite Difference Methods for Solving Partial Differential Equations; Explicit, Implicit, and the Crank-Nicolson Methods for the Heat Equation and the Black-Scholes Equation, and the Relations to Tree Methods; Pricing European and American Options by Partial Differential Equations, and the Projected SOR Method.

Reviews

Author Information

Tab Content 6

Author Website:  

Countries Available

All regions