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Analytical and Numerical Methods for Pricing Financial Derivatives
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Authors: Daniel Sevcovic, Beata Stehlikova and Karol Mikula 
Book Description:
This book presents basic facts and knowledge of pricing financial derivatives. Also discussed herein is the qualitative analysis and practical methods of their pricing. The extensive expansion of various financial derivatives dates back to the beginning of seventies. The analysis of derivative securities was motivated by pioneering works due to economists Myron Scholes and Robert Merton and the theoretical physicist Fisher Black. They derived and analyzed a pricing model nowadays referred to as the Black–Scholes model. The approach was indeed revolutionary as it brought the method of pricing derivative securities by means of solutions to partial differential equations.
(Imprint: Nova)

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Table of Contents:

Chapter 1: The role of protecting financial portfolios (pp. 1-7)

Chapter 2: Black–Scholes and Merton model (pp. 9-31)

Chapter 3: European style of options (pp. 33-48)

Chapter 4: Analysis of dependence of option prices on model parameters (pp. 49-64)

Chapter 5: Option pricing under transaction costs (pp. 65-74)

Chapter 6: Modeling and pricing exotic financial derivatives (pp. 75-91)

Chapter 7: Short interest rate modeling (pp. 93-107)

Chapter 8: Pricing of interest rate derivatives (pp. 109-128)

Chapter 9: American types of derivative securities (pp. 129-140)

Chapter 10: Numerical methods for pricing of simple derivatives (pp. 141-165)

Chapter 11: Nonlinear extensions of the Black–Scholes pricing model (pp. 167-194)

Chapter 12: Transformation methods for pricing American options (pp. 195-229)

Chapter 13: Calibration of interest rate and term structure models (pp. 231-246)

Chapter 14: Advanced topics in the term structure modeling (pp. 247-292)

Subject Index

List of symbols


      Mathematics Research Developments
      Financial Institutions and Services
   Binding: Hardcover
   Pub. Date: 2011
   Pages: 7 x 10 309 pp.
   ISBN: 978-1-61728-780-0
   Status: AV
Status Code Description
AN Announcing
FM Formatting
PP Page Proofs
FP Final Production
EP Editorial Production
PR At Prepress
AP At Press
AV Available
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Analytical and Numerical Methods for Pricing Financial Derivatives